Transformations of the Wiener measure
In this chapter we discuss different extensions of the classical Girsanov theorem to the case of a transformation of the Brownian motion induced by a nonadapted process. This generalized version of Girsanov’s theorem will be applied to study the Markov property of solutions to stochastic differential equations with boundary conditions.
KeywordsStochastic Differential Equation Conditional Independence Markov Random Field Reproduce Kernel Hilbert Space Absolute Continuity
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