Girsanov Theory Under a Finite Entropy Condition

DOI10.1007/978-3-642-27461-9_20zbMath1253.60051arXiv1101.3958OpenAlexW1651825204MaRDI QIDQ2908752

Christian Léonard

Publication date: 29 August 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.3958

zbMATH Keywords

relative entropystochastic processesdiffusion processesprocesses with jumpsGirsanov's theory

Mathematics Subject Classification ID

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Cites Work

• Calcul stochastique et problèmes de martingales
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
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