A formula for transition density function under Girsanov transform

DOI10.1016/J.SPL.2006.11.001MaRDI QIDQ2643749zbMATH OpenOpenAlexFDO

Authors Ruili Song, Jiangang Ying

Publication date 27 August 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.11.001

zbMATH Keywords

Girsanov's theorem.infinitesimal generatorLévy systemtransition probability density function

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)

Review text

In the paper a representation formula for transition probability density function of a certain type of right-continuous processes with left limits under Girsanov transformation is established and the infinitesimal generator of the transformed process is given. Since the underlying process, which is assumed to be a semimartingale, may contain jumps, the authors have to compute Lévy systems of the Markovian bridge and the transformed process.

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Cites work

• A representation formula for transition probability densities of diffusions and applications
• Bivariate Revuz measures and the Feynman-Kac formula
• scientific article; zbMATH DE number 193631 (Why is no real title available?)
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• scientific article; zbMATH DE number 503432 (Why is no real title available?)

Cited in

(5)

• Girsanov's formula for \(G\)-Brownian motion
• A representation formula for transition probability densities of Hunt processes under Girsanov transform
• Revuz measures, energy functionals and capacities under Girsanov transform induced by \(\alpha\)-excessive function
• scientific article; zbMATH DE number 2217296 (Why is no real title available?)
• Estimates on the transition densities of Girsanov transforms of symmetric stable processes

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