Differentiable Families of Measures

AbstractThe paper studies differential and related properties of functions of a real variable with values in the space of signed measures. In particular the connections between different definitions of differentiability are described corresponding to different topologies on the measures. Some conditions are given for the equivalence of the measures in the range of such a function. These conditions are in terms of so-called logarithmic derivatives and yield a generalization of the Cameron-Martin-Maruyama-Girsanov formula. Questions of this kind appear both in the theory of differentiable mesures on infinite-dimensional spaces and in the theory of statistical experiments