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

semimartingaleGirsanov's theorembackward Wiener processchange variable formula

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• A two-sided stochastic integral and its calculus
• Generalized stochastic integrals and the Malliavin calculus
• On backward stochastic differential equations

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