GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS

DOI10.1081/SAP-100002021zbMath0988.60042OpenAlexW2127631178MaRDI QIDQ2746378

Ching-Sung Chou, Tsung-Ming Chao

Publication date: 10 July 2002

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-100002021

zbMATH Keywords

semimartingalecanonical decompositionspecial semimartingalePoisson bridgeextension of filtration

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Continuity and singularity of induced measures (60G30)

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