Reversing gaussian semimartingales without gauss†

DOI10.1080/17442508708833434zbMATH Open0613.60047OpenAlexW2051241677MaRDI QIDQ4720484FDOQ4720484

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

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zbMATH Keywords

semimartingaleGirsanov's theorembackward Wiener processchange variable formula

Mathematics Subject Classification ID

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

Cites Work

• A two-sided stochastic integral and its calculus
• Title not available (Why is that?)
• On backward stochastic differential equations
• Generalized stochastic integrals and the Malliavin calculus

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