On anticipative Girsanov transformations for Lévy processes (Q1028624)
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scientific article; zbMATH DE number 5576006
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On anticipative Girsanov transformations for Lévy processes |
scientific article; zbMATH DE number 5576006 |
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On anticipative Girsanov transformations for Lévy processes (English)
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6 July 2009
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The smooth approach to Malliavin calculus for Lévy processes in the author's paper [J. Theor. Probab. 22, No. 2, 441--473 (2009; Zbl 1166.60032)] is used to study time-anticipative Girsanov transformations for a large class of Lévy processes by means of the substitution rule in finite-dimensional analysis.
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Lévy processes
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Girsanov transformation
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Malliavin calculus
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