A conditional approach to the anticipating Girsanov transformation

DOI10.1007/BF01192167zbMath0791.60038MaRDI QIDQ1326311

Hans Föllmer, Rainer Buckdahn

Publication date: 7 July 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equation; Malliavin calculus; anticipation; conditional Girsanov transformation; explicit formulas for the Carleman- Fredholm determinant

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

60J45: Probabilistic potential theory

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Differentiable measures and the Malliavin calculus, Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions., Gaussian measures on linear spaces

Cites Work

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