On a transformation of the measure of a Brownian motion with drift and Girsanov's theorem

DOI10.1070/RM9808zbMATH Open1429.60064OpenAlexW2793555776MaRDI QIDQ4581702FDOQ4581702

Authors: Albert N. Shiryaev 

Publication date: 20 August 2018

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm9808

zbMATH Keywords

Brownian motionGirsanov's theorem

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Probability-1

Cited In (1)

• Asymptotics of the boundaries in one non-linear optimal stopping problem

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