Reversing gaussian semimartingales without gauss†

DOI10.1080/17442508708833434zbMath0613.60047OpenAlexW2051241677MaRDI QIDQ4720484

Philip E. Protter

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833434

zbMATH Keywords

Girsanov's theoremsemimartingalebackward Wiener processchange variable formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cites Work

• Unnamed Item
• Generalized stochastic integrals and the Malliavin calculus
• A two-sided stochastic integral and its calculus
• On backward stochastic differential equations

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