The Cameron-Martin Theorem for (p-)Slepian processes

Wolfgang Bischoff, Andreas Gegg

We show a Cameron-Martin theorem for Slepian processes $W_t:=\frac{1}{\sqrt{p}}(B_t-B_{t-p}),t\in [p,1]$, where $p\ge \frac{1}{2}$ and $B_s$ is Brownian motion. More exactly, we…