A proof of Girsanov's theorem: the Henstock-Kurzweil approach

DOI10.1007/S40840-017-0512-XzbMath1416.26025OpenAlexW2621106178MaRDI QIDQ2421388

Varayu Boonpogkrong

Publication date: 17 June 2019

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40840-017-0512-x

zbMATH Keywords

Henstock integralHenstock-Kurzweil integralCameron-Martin theoremGirsanov's theorem

Mathematics Subject Classification ID

Integration of real functions of several variables: length, area, volume (26B15) Implicit function theorems, Jacobians, transformations with several variables (26B10) Integral formulas of real functions of several variables (Stokes, Gauss, Green, etc.) (26B20)

Cites Work

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• Absolute integration using Vitali covers
• Transformations of Wiener integrals under translations
• A Modern Theory of Random Variation
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

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