A generalized Girsanov transformation of finite state stochastic processes in discrete time

DOI10.1016/J.SPL.2013.09.025zbMath1328.60168OpenAlexW1994861385MaRDI QIDQ2444373

Shuzhen Yang, Samuel N. Cohen, Shaolin Ji

Publication date: 9 April 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.09.025

zbMATH Keywords

signed measuresGirsanov transformationbackward stochastic difference equations

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Stochastic analysis (60H99)

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• A general theory of finite state backward stochastic difference equations
• How to count and guess well: Discrete adaptive filters
• Numerical method for backward stochastic differential equations
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations
• Stochastic Finance
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Donsker-type theorem for BSDEs

This page was built for publication: A generalized Girsanov transformation of finite state stochastic processes in discrete time