Transformations of the Wiener measure

  • David Nualart
Part of the Probability and its Applications book series (PIA)


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.


Stochastic Differential Equation Conditional Independence Markov Random Field Reproduce Kernel Hilbert Space Absolute Continuity 
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Copyright information

© Springer Science+Business Media New York 1995

Authors and Affiliations

  • David Nualart
    • 1
  1. 1.Facultat de MatemàtiquesUniversitat de BarcelonaBarcelonaSpain

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