Anticipative Girsanov transformations (Q756276)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Anticipative Girsanov transformations
scientific article

    Statements

    Anticipative Girsanov transformations (English)
    0 references
    0 references
    1991
    0 references
    The transformation of the measure induced by \((W+\int^{\bullet}_{0}K_ sds)\) with \((K_ s)\) possibly anticipating the Wiener process \((W_ s)\) is discussed, a Girsanov type theorem under rather weak assumptions on \((K_ s)\) is derived and the density of this transformation is computed, which includes an explicit expression for the Carleman-Fredholm determinant \(d_ c(-DK)\).
    0 references
    transformation of the Gaussian measure
    0 references
    anticipative stochastic calculus
    0 references
    Skorokhod integral
    0 references

    Identifiers