Simple examples of non-generating Girsanov processes

Jacob Feldman; Meir Smorodinsky

Séminaire de probabilités de Strasbourg (1997)

  • Volume: 31, page 247-251

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Feldman, Jacob, and Smorodinsky, Meir. "Simple examples of non-generating Girsanov processes." Séminaire de probabilités de Strasbourg 31 (1997): 247-251. <http://eudml.org/doc/113959>.

@article{Feldman1997,
author = {Feldman, Jacob, Smorodinsky, Meir},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Brownian motion; absolute continuity; Girsanov processes},
language = {eng},
pages = {247-251},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Simple examples of non-generating Girsanov processes},
url = {http://eudml.org/doc/113959},
volume = {31},
year = {1997},
}

TY - JOUR
AU - Feldman, Jacob
AU - Smorodinsky, Meir
TI - Simple examples of non-generating Girsanov processes
JO - Séminaire de probabilités de Strasbourg
PY - 1997
PB - Springer - Lecture Notes in Mathematics
VL - 31
SP - 247
EP - 251
LA - eng
KW - Brownian motion; absolute continuity; Girsanov processes
UR - http://eudml.org/doc/113959
ER -

References

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  1. [DFST] L. Dubins, J. Feldman, M. Smorodinsky, and B.S. Tsirelson(1995): Decreasing sequences of σ-fields and a measure change for Brownian motion, to appear, Ann.Prob. Zbl0870.60078MR1404534
  2. [K] N. Kazamaki (1994): Continuous exponential martingales and BMO, Lec.Notes Math.1579, Springer-Verlag. Zbl0806.60033MR1299529
  3. [R] M. Rosenblatt (1959): Stationary processes as shifts of functions of independent random variables, Jour.Math.Mech.8, pp.665-681. Zbl0092.33601MR114249
  4. [RY] D. Revuz, and M. Yor (1991): Continuous Martingales and Brownian Motion, Springer, Berlin. Zbl0731.60002MR1083357
  5. [T] B.S. Tsirelson, (1975): An example of a stochastic differential equation having no strong solution, Theor.Prob.Appl.20, pp.416-418. Zbl0353.60061MR375461
  6. [V] A.M. Vershik, (1994): Theory of decreasing sequences of measurable partitions, Alg. Anal.6, pp.1-68,in Russian; English version to appear in St.Petersburg Math. Jour.6. Zbl0853.28009MR1304093
  7. [Y] M. Yor, (1992): Tsirelson's equation in discrete time, Prob.Th. Related Fields, 91, pp.135-152. Zbl0744.60033MR1147613

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