Abstract
Let (Ω, F, P) be a complete probability space, and let (F t )0 ≤t ≤T, be a nondecreasing family of the sub-σ-algebras F, augmented by sets of F probability zero. Let W = (W t, F t ) be a Wiener process and let γ = (γ t F t )be a random process with
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Notes and References
Novikov A. A., On an identity for stochastic integrals. Teoria Verojatn. i Primenen. XVII, 4 (1972), 761–765.
Gikhman I. I., Skorokhod A. V., Stochastic Differential Equations. “Naukova dumka,” Kiev, 1968 (Ukranian).
Liptser R. S., Shiryayev A. N., On absolute continuity of measures corresponding to diffusion type processes with respect to a Wiener measure. Izv. AN SSSR, ser. matem. 36, 4 (1972), 874–889.
Girsanov I. V., On transformation of one class of random processes with the help of absolutely continuous substitution of the measure. Teoria Verojan. i Primenen. V, 3 (1960), 314–330.
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© 1977 Springer Science+Business Media New York
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Liptser, R.S., Shiryayev, A.N. (1977). Nonnegative supermartingales and martingales, and the Girsanov theorem. In: Statistics of Random Processes I. Applications of Mathematics, vol 5. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-1665-8_7
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DOI: https://doi.org/10.1007/978-1-4757-1665-8_7
Publisher Name: Springer, New York, NY
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