Skip to main content

Girsanov Theorem

0Citations
Citations of this article
5Readers
Mendeley users who have this article in their library.
Get full text

Abstract

In this chapter, we will obtain Girsanov Theorem and its generalizations by Meyer. Let M be a martingale on and let be another probability measure on absolutely continuous w.r.t. Then as noted in Remark 4.26, M is a semimartingale on We will obtain a decomposition of M into N and B, where N is a martingale. This result for Brownian motion was due to Girsanov, and we will also present the generalizations due to Meyer.

Cite

CITATION STYLE

APA

Karandikar, R. L., & Rao, B. V. (2018). Girsanov Theorem. In Indian Statistical Institute Series (pp. 411–434). Springer Science and Business Media B.V. https://doi.org/10.1007/978-981-10-8318-1_13

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free