Generalization of the Girsanov theorem
Commentationes Mathematicae Universitatis Carolinae (1988)
- Volume: 029, Issue: 1, page 127-141
- ISSN: 0010-2628
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topSkokan, Václav. "Generalization of the Girsanov theorem." Commentationes Mathematicae Universitatis Carolinae 029.1 (1988): 127-141. <http://eudml.org/doc/17603>.
@article{Skokan1988,
author = {Skokan, Václav},
journal = {Commentationes Mathematicae Universitatis Carolinae},
keywords = {generalization of the Cameron-Martin-Girsanov formula; independent increment process; square integrable local martingale},
language = {eng},
number = {1},
pages = {127-141},
publisher = {Charles University in Prague, Faculty of Mathematics and Physics},
title = {Generalization of the Girsanov theorem},
url = {http://eudml.org/doc/17603},
volume = {029},
year = {1988},
}
TY - JOUR
AU - Skokan, Václav
TI - Generalization of the Girsanov theorem
JO - Commentationes Mathematicae Universitatis Carolinae
PY - 1988
PB - Charles University in Prague, Faculty of Mathematics and Physics
VL - 029
IS - 1
SP - 127
EP - 141
LA - eng
KW - generalization of the Cameron-Martin-Girsanov formula; independent increment process; square integrable local martingale
UR - http://eudml.org/doc/17603
ER -
References
top- GIRSANOV I. V., O preobrazovanii odnogo klassa sluchaĭnykh processov s pomoshchyu absolyutno nepreryvnoĭ zameny mery, Teoriya veroyatnostei i ee primeneniya 5 (1960), 314-330. (1960)
- ERSHOV M. P., Ob absolyutnoĭ nepreryvnosti mer otyechayushchikh processam diffuzionnogo tipa, Teoriya veroyatnosteí i ee primeneniya 17 17 (1972), 173-179. (1972)
- GIKHMAN I. I., SKOROKHOD A. V., Teoriya sluchaĭnykh processov, tom III, Izd.-vo Nauka, 1975, str. 345, 350. (1975) MR0651014
- LIPCER R. SH., SHIRYAEV A. N., Ob absolyutnoĭ nepreryvnosti mer sootvetstvuyushchikh processam diffuzionnogo tipa otnositelno vinerovskoĭ, Izv. AN SSSR, ser. matem. 36 (1972), 847-889. (1972)
- SKOROKHOD A. V., O differenciruemosti mer sootvetstvuyushchikh sluchaĭnym processam, Teoriya veroyatnosteĭ i ee primeneniya 5 (1960), 45-53. (1960)
- GIKHMAN I. I., SKOROKHOD A. V., Stokhasticheskie differencialnye uravneniya, Nauka, Dumka, 1968. (1968)
- LOEVE M., Teoriya veroyatnosteĭ, Izd. in. literatury, Moskva 1962. (1962) MR0140129
- MANDL P., Stochastic integrals and their applications, (in Czech), ČSAV, Praha 1975. (1975)
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