Nonanticipative transformations of the two-parameter Wiener process and a Girsanov theorem

DOI10.1016/0047-259X(77)90029-XMaRDI QIDQ1247683zbMATH OpenFDO

Authors Nasrollah Etemadi, Gopinath Kallianpur

Publication date 1977

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(77)90029-X

Mathematics Subject Classification ID

Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10) Gaussian processes (60G15)

Cites work

• A Multi-Parameter Gaussian Process
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• Multiple Wiener integral
• Non-anticipative representations of equivalent Gaussian processes
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Stochastic integrals in the plane
• Transformations of Wiener Integrals Under a General Class of Linear Transformations
• Volterra transformations of the Wiener measure on the space of continuous functions of two variables

Cited in

(6)

• Nonlinear filtering equations for two-parameter semimartingales
• Gaussian random fields
• Stochastic equations of optimal nonlinear filtering of random fields
• Absolutely continuous change of measure in stochastic differential equations
• Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise
• Th�or�me de traces stochastiques et fonctionnelles multiplicatives pour des champs gaussiens markoviens d'ordre p

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