On path-independent Girsanov transform
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Publication:2663804
DOI10.1016/j.amc.2020.125845zbMath1474.60120OpenAlexW3113869422MaRDI QIDQ2663804
Publication date: 20 April 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2020.125845
Continuous-time Markov processes on general state spaces (60J25) Martingales and classical analysis (60G46)
Cites Work
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