Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space

zbMath0796.60082MaRDI QIDQ1322926

Hans Föllmer, Peter Imkeller

Publication date: 20 September 1994

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1993__29_4_569_0

zbMATH Keywords

Wiener processWiener measureenlargement of filtrationsemimartingaleGirsanov transformation

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Probabilistic potential theory (60J45) Stochastic integrals (60H05)

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