The realization of positive random variables via absolutely continuous transformations of measure on Wiener space

D. Feyel, A. S. Üstünel, M. Zakai

Published 2005-11-22, updated 2006-05-16Version 2

Let $\mu$ be a Gaussian measure on some measurable space $\{W=\{w\},{\mathcal{B}}(W)\}$ and let $\nu$ be a measure on the same space which is absolutely continuous with respect to $\nu$. The paper surveys results on the problem of constructing a transformation $T$ on the $W$ space such that $Tw=w+u(w)$ where $u$ takes values in the Cameron-Martin space and the image of $\mu$ under $T$ is $\mu$. In addition we ask for the existence of transformations $T$ belonging to some particular classes.