A Girsanov result for the Pettis integral

DOI10.14321/REALANALEXCH.46.1.0175MaRDI QIDQ2054559zbMATH OpenOpenAlexFDO

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

Publication date 3 December 2021

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

Full work available at URL https://arxiv.org/abs/2007.04610, https://projecteuclid.org/journals/real-analysis-exchange/volume-46/issue-1/A-girsanov-result-for-the-pettis-integral/10.14321/realanalexch.46.1.0175.full

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)

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.

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