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Girsanov’s Theorem and First Applications

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Continuous Martingales and Brownian Motion

Part of the book series: Grundlehren der mathematischen Wissenschaften ((GL,volume 293))

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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.

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Authors and Affiliations

  1. Département de Mathématiques, Université de Paris VII, 2, Place de Jussieu, F-75251, Paris Cedex 05, France

    Daniel Revuz

  2. Laboratoire de Probabilités, Université Pierre et Marie Curie, 4, Place de Jussieu, Tour 56, F-75252, Paris Cedex 05, France

    Marc Yor

Authors
  1. Daniel Revuz
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  2. Marc Yor
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© 1991 Springer-Verlag Berlin Heidelberg

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Revuz, D., Yor, M. (1991). Girsanov’s Theorem and First Applications. In: Continuous Martingales and Brownian Motion. Grundlehren der mathematischen Wissenschaften, vol 293. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-21726-9_9

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  • DOI: https://doi.org/10.1007/978-3-662-21726-9_9

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-662-21728-3

  • Online ISBN: 978-3-662-21726-9

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