A proof of Girsanov's theorem: the Henstock-Kurzweil approach (Q2421388)
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| Language | Label | Description | Also known as |
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| English | A proof of Girsanov's theorem: the Henstock-Kurzweil approach |
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A proof of Girsanov's theorem: the Henstock-Kurzweil approach (English)
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17 June 2019
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In the present paper, the author proves for the Henstock-Wiener integral a standard version of Girsanov's theorem for Wiener integrals, using the Henstock-Kurzweil approach based on Riemann sums.
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Henstock integral
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Henstock-Kurzweil integral
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Girsanov's theorem
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Cameron-Martin theorem
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