A Girsanov Type Theorem Under G-Framework

DOI10.1080/07362994.2011.548985zbMath1225.60115MaRDI QIDQ3005153

Jing Xu, Hao Shang, Bo Zhang

Publication date: 7 June 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.548985

zbMATH Keywords

Girsanov theorem; \(G\)-Brownian motion; \(G\)-expectation

Mathematics Subject Classification ID

60J65: Brownian motion

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G20: Generalized stochastic processes

91G20: Derivative securities (option pricing, hedging, etc.)

60G46: Martingales and classical analysis

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Cites Work

• The Pricing of Options and Corporate Liabilities
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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• Absolute continuity of symmetric diffusions
• Girsanov and Feynman-Kac type transformations for symmetric Markov processes
• Absolute continuity of symmetric Markov processes.
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• A Girsanov Type Theorem on the Path Space Over a Compact Riemannian Manifold