Anticipative Girsanov transformations

DOI10.1007/BF01366907zbMATH Open0722.60059MaRDI QIDQ756276FDOQ756276

Rainer Buckdahn

Publication date: 1991

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

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

• Stochastic calculus with anticipating integrands
• On nonlinear transformations of Gaussian measures
• Generalized stochastic integrals and the Malliavin calculus
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Cited In (19)

• 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
• 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
• Stochastic Integral for Non-Adapted Processes Related to Sub-Fractional Brownian Motion when $H>1/2$
• Rotations and quasi-invariance on the path space
• Nonlinear transformations of the canonical Gauss measure on Hilbert space and absolute continuity
• Some sufficient conditions for Novikov’s criterion
• Transformation of Wiener measure under anticipative flows
• Randomness and nonlinear evolution equations

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