On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
From MaRDI portal
Publication:3282326
DOI10.1137/1105027zbMath0100.34004OpenAlexW2083731191WikidataQ56227687 ScholiaQ56227687MaRDI QIDQ3282326
Publication date: 1962
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/1105027
Related Items (only showing first 100 items - show all)
On the optimal filtering of diffusion processes ⋮ A review of Girsanov reweighting and of square root approximation for building molecular Markov state models ⋮ Feynman-Kac theory of time-integrated functionals: Itô versus functional calculus ⋮ Nonparametric density estimation for intentionally corrupted functional data ⋮ Quadratic-exponential functionals of Gaussian quantum processes ⋮ The detection and estimation of the change point in a disccrete-time stochastic system ⋮ A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management ⋮ Limit Theorem for the Spread of Branching Diffusion with Stabilizing Drift ⋮ Unnamed Item ⋮ On the construction of \(\epsilon\)-optimal strategies in partially observed MDPs ⋮ Sufficient conditions for the invertibility of adapted perturbations of identity on the Wiener space ⋮ POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS ⋮ Markov chain approximation and measure change for time-inhomogeneous stochastic processes ⋮ Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games ⋮ On a transformation of the measure of a Brownian motion with drift and Girsanov's theorem ⋮ Nonequilibrium statistical thermodynamics of second-order stochastic processes in the limit of large resistance ⋮ Average preserving variation processes in view of optimization ⋮ Isomorphism Properties of Optimality and Equilibrium Solutions Under Equivalent Information Structure Transformations: Stochastic Dynamic Games and Teams ⋮ An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix ⋮ Transport of Gaussian measures with exponential cut-off for Hamiltonian PDEs ⋮ CORRELATION ESTIMATION IN HYBRID SYSTEMS ⋮ Stochastic Processes in the Decades after 1950 ⋮ Martingales in Japan ⋮ Encounters with Martingales in Stochastic Control ⋮ Zero-sum games involving teams against teams: existence of equilibria, and comparison and regularity in information ⋮ XVA in a multi-currency setting with stochastic foreign exchange rates ⋮ Quasi-invariance of Gaussian measures for the periodic Benjamin-Ono-BBM equation ⋮ From quantum stochastic differential equations to Gisin-Percival state diffusion ⋮ Optimal investment in a general stochastic factor framework under model uncertainty ⋮ Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model ⋮ An extension of the mixed Novikov–Kazamaki condition ⋮ Stochastic projection based approach for gradient free physics informed learning ⋮ Discrete approximation of nonlinear filtering for stochastic delay equations ⋮ ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS ⋮ Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement ⋮ Valuation of European crude oil options with co-jump diffusions and stochastic interest rate ⋮ RARE EVENTS IN THE STOCHASTIC CAMASSA–HOLM EQUATION ⋮ CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION ⋮ The Girsanov Theorem Without (So Much) Stochastic Analysis ⋮ On Martingale Chaoses ⋮ Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach ⋮ A Note On Utility Maximization Under Partial Observations1 ⋮ Optimal Consumption‐Portfolio Policies With Habit Formation1 ⋮ Pricing Options With Curved Boundaries1 ⋮ Analytical solutions of a class of multidimensional Fokker-Planck equations ⋮ Stochastic Filtering Methods in Electronic Trading ⋮ Transformations of diffusions with jumps ⋮ Modelling the joint behaviour of electricity prices in interconnected markets ⋮ ON STOCHASTICITY OF SOLUTIONS OF DIFFERENTIAL EQUATIONS WITH A SMALL DELAY ⋮ A Girsanov Type Theorem Under G-Framework ⋮ Asymptotics of the boundaries in one non-linear optimal stopping problem ⋮ Transformation des martingales locales par changement absolument continu de probabilities ⋮ Likelihood ratios and transformation of probability associated with two-parameter Wiener processes ⋮ On the existence of solutions to stochastic differential equations on Loeb spaces ⋮ Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model ⋮ FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY ⋮ Uniqueness and Absolute Continuity for Semilinear SPDE’s ⋮ Nonparametric Modeling of Neural Point Processes via Stochastic Gradient Boosting Regression ⋮ Filtering formulae for partially observed linear systems with non-gaussian initial conditions ⋮ On the integral representation of functionals of ltd processest ⋮ The role of noise in finite ensembles of nanomagnetic particles ⋮ Fluctuation theorem as a special case of Girsanov theorem ⋮ On averaged control and iteration improvement for a class of multidimensional ergodic diffusions ⋮ Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality ⋮ Current fluctuations and transport efficiency for general Langevin systems ⋮ On extremal solutions of martingale problems ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ Équations du filtrage pour un processus de poisson mélangé á deux indices ⋮ Information states for linear stochastic systems ⋮ Singular stochastic control and optimal stopping ⋮ Unnamed Item ⋮ Nonequilibrium corrections to gradient flow ⋮ Stability and existence of diffusions with discontinuous or rapidly growing drift terms ⋮ A numerical technique for small-noise stochastic control problems ⋮ Examples of optimal control for partially observable systems:comparison, classical, and martingale methods ⋮ Relations Between Information and Estimation in the Presence of Feedback ⋮ Approximations to and local properties of diffusions with discontinuous controls ⋮ ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS ⋮ BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. ⋮ Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty ⋮ Disentanglement approach to quantum spin ground states: field theory and stochastic simulation ⋮ Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients ⋮ Transportation inequalities for coupled systems of stochastic delay evolution equations with a fractional Brownian motion ⋮ A Note on a Result of Liptser-Shiryaev ⋮ The stochastic H-theorem ⋮ The Novikov and entropy conditions of multidimensional diffusion processes with singular drift ⋮ A conditional approach to the anticipating Girsanov transformation ⋮ Nonlinear filtering of systems governed by Ito differential equations with jump parameters ⋮ Optimal statistical decisions about some alternative financial models ⋮ Violation of the second fluctuation-dissipation relation and entropy production in nonequilibrium medium ⋮ On weak solutions of highly degenerate SDEs ⋮ Asymptotic distribution of the EPMS estimator for financial derivatives pricing ⋮ Adaptive importance sampling for control and inference ⋮ Infinite-dimensional Wiener processes with drift ⋮ Setwise convergence of solution measures of stochastic differential equations ⋮ A new aspect of \(L_{\infty}\) in the space of BMO-martingales ⋮ Rotations and quasi-invariance on the path space ⋮ Equilibrium asset prices and exchange rates ⋮ Sequential systems of reflected backward stochastic differential equations with application to impulse control
This page was built for publication: On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures