Geodesic
On the Differentiability of Measures Which Correspond to Stochastic Processes. I. Processes with Independent Increments
Teoriâ veroâtnostej i ee primeneniâ, Tome 2 (1957) no. 4, pp. 417-443 
A. V. Skorokhod. On the Differentiability of Measures Which Correspond to Stochastic Processes. I. Processes with Independent Increments. Teoriâ veroâtnostej i ee primeneniâ, Tome 2 (1957) no. 4, pp. 417-443. http://geodesic.mathdoc.fr/item/TVP_1957_2_4_a1/
@article{TVP_1957_2_4_a1,
     author = {A. V. Skorokhod},
     title = {On the {Differentiability} of {Measures} {Which} {Correspond} to {Stochastic} {Processes.} {I.~Processes} with {Independent} {Increments}},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {417--443},
     year = {1957},
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     url = {http://geodesic.mathdoc.fr/item/TVP_1957_2_4_a1/}
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Kolmogorov (see [2] pg. 39) has proved that for each stochastic process there exists a corresponding unique measure on the minimal Borel field containing all cylindrical sets of the space of all functions. Let $\xi_1(t)$ and $\xi_2(t)$ be processes with independent increments and $\mu_1$ and $\mu_2$ – measures corresponding to these processes. In this paper the conditions for which the measure $\mu_2$ is absolutely continuous with respect to the measure $\mu_1$ are investigated (Theorem A), and the density of the measure $\mu_2$ with respect to the measure $\mu_2$ is calculated (Theorem B).