Anticipative Girsanov transformations

DOI10.1007/BF01366907zbMATH Open0722.60059MaRDI QIDQ756276FDOQ756276

Authors: Rainer Buckdahn 

Publication date: 1991

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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zbMATH Keywords

Skorokhod integralanticipative stochastic calculustransformation of the Gaussian measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Title not available (Why is that?)
• Stochastic calculus with anticipating integrands
• Title not available (Why is that?)
• On nonlinear transformations of Gaussian measures
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• Generalized stochastic integrals and the Malliavin calculus
• Title not available (Why is that?)

Cited In (22)

• Linear stochastic differential equations and Wick products
• Stochastic differential equations driven by fractional Brownian motions
• Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
• Anticipative Girsanov transformations and Skorohod stochastic differential equations
• Dynamical systems generated by Sobolev class vector fields in finite and infinite dimensions
• Some sufficient conditions for Novikov's criterion
• Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.
• Girsanov identities for Poisson measures under quasi-nilpotent transformations
• The Itô integral and near-martingales in Riesz spaces
• Transformation of the Wiener measure under non-invertible shifts
• Anticipative Markovian transformations on the Poisson space.
• Differentiable measures and the Malliavin calculus
• Absolutely continuous flows generated by Sobolev class vector fields in finite and infinite dimensions
• Gaussian measures on linear spaces
• Anticipative diffusion and related change of measures
• A Girsanov-type formula for a class of anticipative transforms of Brownian motion associated with exponential functionals
• Rotations and quasi-invariance on the path space
• Nonlinear transformations of the canonical Gauss measure on Hilbert space and absolute continuity
• On anticipative Girsanov transformations for Lévy processes
• Transformation of Wiener measure under anticipative flows
• Randomness and nonlinear evolution equations
• Stochastic integral for non-adapted processes related to sub-fractional Brownian motion when \(H>\frac{1}{2}\)

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