On anticipative Girsanov transformations for Lévy processes

DOI10.1007/S10959-008-0197-ZMaRDI QIDQ1028624zbMATH OpenOpenAlexFDO

Authors Horst Osswald

Publication date 6 July 2009

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-008-0197-z

zbMATH Keywords

Girsanov transformationLévy processesMalliavin calculus

Mathematics Subject Classification ID

Nonstandard analysis (26E35) Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) White noise theory (60H40)

Review text

The smooth approach to Malliavin calculus for Lévy processes in the author's paper [J. Theor. Probab. 22, No. 2, 441--473 (2009; Zbl 1166.60032)] is used to study time-anticipative Girsanov transformations for a large class of Lévy processes by means of the substitution rule in finite-dimensional analysis.

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Cites work

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• scientific article; zbMATH DE number 3978014 (Why is no real title available?)
• scientific article; zbMATH DE number 775166 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
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Cited in

(4)

• Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
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• From probability measures to each Lévy triplet and back
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