Summary
The transformations of measures induced by\(\left( {W + \int\limits_0^ \bullet {K_s ds} } \right)\) with (K s ) possibly anticipating the Wiener process (W s ) is discussed and a Girsanovtype theorem under rather weak assumptions on (K s ) is derived.
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Buckdahn, R. Anticipative Girsanov transformations. Probab. Th. Rel. Fields 89, 211–238 (1991). https://doi.org/10.1007/BF01366907
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DOI: https://doi.org/10.1007/BF01366907