A conditional approach to the anticipating Girsanov transformation

DOI10.1007/BF01192167zbMath0791.60038MaRDI QIDQ1326311

Hans Föllmer, Rainer Buckdahn

Publication date: 7 July 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationMalliavin calculusanticipationconditional Girsanov transformationexplicit formulas for the Carleman- Fredholm determinant

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Probabilistic potential theory (60J45) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Gaussian measures on linear spaces ⋮ Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts ⋮ Differentiable measures and the Malliavin calculus ⋮ Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.

Cites Work

• Generalized stochastic integrals and the Malliavin calculus
• Linear Skorohod stochastic differential equations
• On nonlinear transformations of Gaussian measures
• Integration and Nonlinear Transformations In Hilbert Space
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• The Transformation of Wiener Integrals by Nonlinear Transformations
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