A few comments on a result of A. Novikov and Girsanov's theorem

DOI10.1080/17442508.2019.1590356zbMath1492.60113arXiv1903.00759OpenAlexW3106369094MaRDI QIDQ5087047

Nicolai V. Krylov

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.00759

zbMATH Keywords

Girsanov's theoremexponential martingalesNovikov's condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Related Items (3)

Ramsey rule with forward/backward utility for long-term yield curves modeling ⋮ Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning ⋮ Ornstein-Uhlenbeck processes with singular drifts: integral estimates and Girsanov densities

Cites Work

• On a problem of Girsanov
• A new proof for the conditions of Novikov and Kazamaki
• The martingale property in the context of stochastic differential equations
• On an Identity for Stochastic Integrals
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A few comments on a result of A. Novikov and Girsanov's theorem