The Girsanov Theorem Without (So Much) Stochastic Analysis
From MaRDI portal
Publication:5126594
DOI10.1007/978-3-319-92420-5_8zbMath1452.60033OpenAlexW2606155612MaRDI QIDQ5126594
Publication date: 20 October 2020
Published in: Séminaire de Probabilités XLIX (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/hal-01498129/file/girsanov_FV_R1.pdf
stochastic differential equationheat equationflowFeynman-Kac formulaCameron-Martin theoremGirsanov theoremsplitting schemeEuler schemeLie-Trotter-Kato formula
Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Approximation of Markov semigroups in total variation distance
- Remarks on uniqueness and strong solutions to deterministic and stochastic differential equations
- Mathematical methods for financial markets.
- Malliavin calculus of Bismut type without probability
- A probabilistic interpretation of the parametrix method
- Ordinary differential equations, transport theory and Sobolev spaces
- Semigroups of linear operators and applications to partial differential equations
- The Feynman-Kac formula and the Hamilton-Jacobi equation
- Transformation of local martingales under a change of law
- The Feynman-Kac formula and decomposition of Brownian paths
- On the error estimate of the integral kernel for the Trotter product formula for Schrödinger operators
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
- Exact simulation of diffusions
- Penalising Brownian paths. Dedicated to Frank Knight (1933-2007).
- Approximating some Volterra type stochastic integrals with applications to parameter estimation.
- Transformations of Wiener integrals under translations
- Splitting and composition methods in the numerical integration of differential equations
- Schrödinger semigroups
- Conditional brownian motion and the boundary limits of harmonic functions
- On the Product of Semi-Groups of Operators
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- Rate of Convergence of the Euler Approximation for Diffusion Processes
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- Canonical Representation for Gaussian Processes
- Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
- ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
- Small random perturbations of peano phenomena
- Conditions for the Absolute Continuity of Two Diffusions
- One-Parameter Semigroups for Linear Evolution Equations
- From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
- Lecture notes on the DiPerna–Lions theory in abstract measure spaces
- Product formulas, nonlinear semigroups, and addition of unbounded operators
- Weak Euler Approximation for Itô Diffusion and Jump Processes
- Feynman Integrals and the Schrödinger Equation
- Geometric Numerical Integration
- Quelques applications de la formule de changement de variables pour les semimartingales
- On Distributions of Certain Wiener Functionals
- The Transformation of Wiener Integrals by Nonlinear Transformations
- Transformations of Wiener Integrals Under a General Class of Linear Transformations
- A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
