The Girsanov Theorem Without (So Much) Stochastic Analysis

DOI10.1007/978-3-319-92420-5_8zbMath1452.60033OpenAlexW2606155612MaRDI QIDQ5126594

Antoine Lejay

Publication date: 20 October 2020

Published in: Séminaire de Probabilités XLIX (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/hal-01498129/file/girsanov_FV_R1.pdf

zbMATH Keywords

stochastic differential equationheat equationflowFeynman-Kac formulaCameron-Martin theoremGirsanov theoremsplitting schemeEuler schemeLie-Trotter-Kato formula

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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