The Girsanov Theorem Without (So Much) Stochastic Analysis (Q5126594)
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scientific article; zbMATH DE number 7262368
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Girsanov Theorem Without (So Much) Stochastic Analysis |
scientific article; zbMATH DE number 7262368 |
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The Girsanov Theorem Without (So Much) Stochastic Analysis (English)
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20 October 2020
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Girsanov theorem
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Lie-Trotter-Kato formula
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Feynman-Kac formula
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stochastic differential equation
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Euler scheme
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splitting scheme
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flow
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heat equation
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Cameron-Martin theorem
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