Reversing gaussian semimartingales without gauss†

DOI10.1080/17442508708833434MaRDI QIDQ4720484zbMATH OpenOpenAlexFDO

Authors Philip Protter

Publication date 1987

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508708833434

zbMATH Keywords

backward Wiener processchange variable formulaGirsanov's theoremsemimartingale

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cites work

• A two-sided stochastic integral and its calculus
• Generalized stochastic integrals and the Malliavin calculus
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• On backward stochastic differential equations

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