A proof of Girsanov's theorem: the Henstock-Kurzweil approach (Q2421388)

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A proof of Girsanov's theorem: the Henstock-Kurzweil approach
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    A proof of Girsanov's theorem: the Henstock-Kurzweil approach (English)
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    17 June 2019
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    In the present paper, the author proves for the Henstock-Wiener integral a standard version of Girsanov's theorem for Wiener integrals, using the Henstock-Kurzweil approach based on Riemann sums.
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    Henstock integral
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    Henstock-Kurzweil integral
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    Girsanov's theorem
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    Cameron-Martin theorem
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