Quasi-invariance properties of a class of subordinators

Abstract

We study absolute-continuity properties of a class of stochastic processes, including the gamma and the Dirichlet processes. We prove that the laws of a general class of non-linear transformations of such processes are locally equivalent to the law of the original process and we compute explicitly the associated Radon-Nikodym densities. This work unifies and generalizes to random non-linear transformations several previous results on quasi-invariance of gamma and Dirichlet processes.