Journal of Operator Theory

Volume 55, Issue 2, Spring 2006 pp. 373-392.

A free Girsanov property for free Brownian motions

Authors: Jocelyne Bion-Nadal
Author institution: Centre de Math\'ematiques Appliqu\'ees (CMAP), CNRS UMR 7641, Ecole Polytechnique, F-91128 Palaiseau Cedex, France

Summary: A ``free Girsanov'' property is proved for free Brownian motions. It is reminiscent of the classical Girsanov theorem in probability theory. In the free probability context, we prove that if

$(\sigma_s)_{s\in \R^+}$ is a free Brownian motion in

$(M,\tau)$ , if

$x$ is a process free from the

$\sigma_s$ , if

$\widetil de{\sigma_s}=\sigma_s+\int \limits_{0}^{s}\ x(u)\mathrm du$ , then there is a trace

$\widetilde{\tau}$ such that

$(\widetilde{\sigma_s})_{s\in \R^+}$ is a free Brownian motion for

$\widetilde \tau$ and the two traces are ``asymptotically equivalent''. This means that

$\tau$ respectively

$\widetilde\tau$ are asymptotic limits of states

$\Psi_n$ respectively

$\widetilde\Psi_n$ and that for each

$n$

$\widetilde\Psi_n$ is obtained from

$\Psi_n$ by a change of probability given by an exponential density.

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