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Girsanov’s Theorem and First Applications

  • Daniel Revuz
  • Marc Yor
Part of the Grundlehren der mathematischen Wissenschaften book series (GL, volume 293)

Abstract

In this chapter we study the effect on the space of continuous semimartingales of an absolutely continuous change of probability measure. The results we describe have far-reaching consequences from the theoretical point of view as is hinted at in Sect. 2; they also permit many explicit computations as is seen in Sect. 3.

Keywords

Probability Measure Markov Process Iterate Logarithm Infinitesimal Generator Chapter VIII 
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 Berlin Heidelberg 1999

Authors and Affiliations

  • Daniel Revuz
    • 1
  • Marc Yor
    • 2
  1. 1.Départment de MathématiquesUniversité Paris VIIParis Cedex 05France
  2. 2.Laboratoire de ProbabilitésUniversité Pierre et Marie CurieParis Cedex 05France

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