Generalization of the Girsanov theorem

Václav Skokan

Commentationes Mathematicae Universitatis Carolinae (1988)

  • Volume: 029, Issue: 1, page 127-141
  • ISSN: 0010-2628

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Skokan, 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

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  1. 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) 
  2. ERSHOV M. P., Ob absolyutnoĭ nepreryvnosti mer otyechayushchikh processam diffuzionnogo tipa, Teoriya veroyatnosteí i ee primeneniya 17 17 (1972), 173-179. (1972) 
  3. GIKHMAN I. I., SKOROKHOD A. V., Teoriya sluchaĭnykh processov, tom III, Izd.-vo Nauka, 1975, str. 345, 350. (1975) MR0651014
  4. 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) 
  5. SKOROKHOD A. V., O differenciruemosti mer sootvetstvuyushchikh sluchaĭnym processam, Teoriya veroyatnosteĭ i ee primeneniya 5 (1960), 45-53. (1960) 
  6. GIKHMAN I. I., SKOROKHOD A. V., Stokhasticheskie differencialnye uravneniya, Nauka, Dumka, 1968. (1968) 
  7. LOEVE M., Teoriya veroyatnosteĭ, Izd. in. literatury, Moskva 1962. (1962) MR0140129
  8. MANDL P., Stochastic integrals and their applications, (in Czech), ČSAV, Praha 1975. (1975) 

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