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A Proof of Girsanov’s Theorem: The Henstock–Kurzweil Approach

  • Varayu BoonpogkrongEmail author
Article
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Abstract

In this paper, we will give a proof of Girsanov’s theorem for Wiener integrals using the Henstock–Kurzweil approach. The approach is by Riemann sums.

Keywords

Henstock integral Henstock–Kurzweil integral Girsanov’s theorem Cameron–Martin theorem 

Mathematics Subject Classification

Primary 26B10 Secondary 26B15 26B20 

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Copyright information

© Malaysian Mathematical Sciences Society and Penerbit Universiti Sains Malaysia 2017

Authors and Affiliations

  1. 1.Department of Mathematics and Statistics, Faculty of SciencePrince of Songkla UniversityHat YaiThailand

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