A Girsanov result for the Pettis integral

DOI10.14321/REALANALEXCH.46.1.0175zbMATH Open1489.46049arXiv2007.04610OpenAlexW3210257189MaRDI QIDQ2054559FDOQ2054559

Authors: Luca Trastulli, Domenico Candeloro, A. R. Sambucini 

Publication date: 3 December 2021

Published in: Real Analysis Exchange (Search for Journal in Brave)

Abstract: A kind of Pettis integral representation for a Banach valued It^o process is given and its drift term is modified using a Girsanov Theorem.

Full work available at URL: https://arxiv.org/abs/2007.04610

zbMATH Keywords

martingaleGirsanov theoremPettis multivalued integral

Mathematics Subject Classification ID

Set-valued functions (26E25) Vector-valued set functions, measures and integrals (28B05) Vector-valued measures and integration (46G10) Set-valued maps in general topology (54C60) Stochastic integrals (60H05) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

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