Conditional version of the Donati-Martin and Yor formula and its applications

MaRDI QIDQ4898877zbMATH OpenFDO

Authors Maciej Wiśniewolski, Jacek Jakubowski

Publication date 3 January 2013

zbMATH Keywords

Brownian motionGirsanov theoremconditional functional of Brownian motion

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Brownian motion (60J65) Local time and additive functionals (60J55)

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