Change of measure up to a random time: theory

DOI10.2307/3214696zbMath0757.60041OpenAlexW2328479263MaRDI QIDQ3988136

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Publication date: 28 June 1992

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214696

zbMATH Keywords

conditioningmartingalesemi-martingalesCameron-Martin-Girsanov formulaDoob transform\(h\)-transforms of Markov processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Change of measure up to a random time: details

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