Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus

DOI10.1007/s004400050059zbMath0855.60045OpenAlexW2011745788MaRDI QIDQ1924278

Peter Imkeller

Publication date: 27 January 1997

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

Full work available at URL: https://doi.org/10.1007/s004400050059

zbMATH Keywords

stochastic differential equationsstochastic integralsmartingale inequalitiesquadratic variationssemimartingale theoryOseledets spaces

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

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