A formula for transition density function under Girsanov transform (Q2643749)
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| English | A formula for transition density function under Girsanov transform |
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A formula for transition density function under Girsanov transform (English)
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27 August 2007
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In the paper a representation formula for transition probability density function of a certain type of right-continuous processes with left limits under Girsanov transformation is established and the infinitesimal generator of the transformed process is given. Since the underlying process, which is assumed to be a semimartingale, may contain jumps, the authors have to compute Lévy systems of the Markovian bridge and the transformed process.
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transition probability density function
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infinitesimal generator
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Lévy system
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Girsanov's theorem.
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