Nonanticipative transformations of the two-parameter Wiener process and a Girsanov theorem

DOI10.1016/0047-259X(77)90029-XzbMath0382.60039MaRDI QIDQ1247683

Gopinath Kallianpur, Nasrollah Etemadi

Publication date: 1977

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Gaussian processes (60G15) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10)

Related Items (6)

Stochastic equations of optimal nonlinear filtering of random fields ⋮ Absolutely continuous change of measure in stochastic differential equations ⋮ Gaussian random fields ⋮ Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise ⋮ Nonlinear filtering equations for two-parameter semimartingales ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:3943763 Th�or�me de traces stochastiques et fonctionnelles multiplicatives pour des champs gaussiens markoviens d'ordre p]

Cites Work

• Unnamed Item
• Non-anticipative representations of equivalent Gaussian processes
• Stochastic integrals in the plane
• Volterra transformations of the Wiener measure on the space of continuous functions of two variables
• Multiple Wiener integral
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• A Multi-Parameter Gaussian Process
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• Transformations of Wiener Integrals Under a General Class of Linear Transformations

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