A technique for exponential change of measure for Markov processes

Publication date: 25 May 2003

Published in: Bernoulli (Search for Journal in Brave)

diffusion process Markov process exponential change of measure piecewise deterministic Markov process extended generator Cameron-Martin-Girsanov theorem

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Random measures (60G57) Markov processes (60J99)

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