Absolutely continuous change of measure in stochastic differential equations

DOI10.1007/BF02366455zbMath0844.60033MaRDI QIDQ1905237

E. N. Derieva

Publication date: 8 January 1996

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

zbMATH Keywords

solution propertiesabsolutely continuous change of measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Stochastic integrals in the plane
• Nonanticipative transformations of the two-parameter Wiener process and a Girsanov theorem
• Stochastic equations of optimal nonlinear filtering of random fields

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