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Anticipative Girsanov transformations
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  • Published: June 1991

Anticipative Girsanov transformations

  • Rainer Buckdahn1 

Probability Theory and Related Fields volume 89, pages 211–238 (1991)Cite this article

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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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References

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Authors and Affiliations

  1. Fachbereich Mathematik, Humboldt-Universität, Unter den Linden 6, O-1086, Berlin, Germany

    Rainer Buckdahn

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  1. Rainer Buckdahn
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Cite this article

Buckdahn, R. Anticipative Girsanov transformations. Probab. Th. Rel. Fields 89, 211–238 (1991). https://doi.org/10.1007/BF01366907

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  • Received: 19 June 1990

  • Revised: 27 March 1991

  • Issue Date: June 1991

  • DOI: https://doi.org/10.1007/BF01366907

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Keywords

  • Stochastic Process
  • Probability Theory
  • Mathematical Biology
  • Wiener Process
  • Weak Assumption
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