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

DOI10.1070/RM9808MaRDI QIDQ4581702zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3010031 (Why is no real title available?)
• scientific article; zbMATH DE number 3052578 (Why is no real title available?)
• 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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