Cameron-Martin theorem for a linear drift Created 2026-09-24 Updated 2026-09-24
For the Cameron-Martin space of Wiener measure path , the Cameron-Martin theorem says that translation of Brownian motion by this linear function changes its law through time by the density
The assertion is false for a general continuous . For example, take . The Brownian Hölder regularity gives almost surely as , while
almost surely. The original and translated path laws therefore concentrate on disjoint measurable events and are mutually singular measures.
More generally, the Cameron-Martin theorem gives the exact criterion: translation by is absolutely continuous precisely when is an absolutely continuous function, , and .
The assertion is true. Since , it lies in the Cameron-Martin space of Wiener measure. The Cameron-Martin theorem says that the translated law is equivalent, and in particular absolutely continuous, with respect to Wiener measure. Its Radon-Nikodym derivative is