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Girsanov Theory

  • J. Michael Steele
Part of the Applications of Mathematics book series (SMAP, volume 45)

Abstract

Can a stochastic process with drift also be viewed as a process without drift? This modestly paradoxical question is no mere curiosity. It has many important consequences, the most immediate of which is the discovery that almost any question about Brownian motion with drift may be rephrased as a parallel (but slightly modified) question about standard Brownian motion.

Keywords

Brownian Motion Importance Sampling Quadratic Variation Standard Brownian Motion Slope Line 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag New York, Inc. 2001

Authors and Affiliations

  • J. Michael Steele
    • 1
  1. 1.The Wharton School, Department of StatisticsUniversity of PennsylvaniaPhiladelphiaUSA

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