Anticipative Girsanov transformations

DOI10.1007/BF01366907zbMath0722.60059MaRDI QIDQ756276

Rainer Buckdahn

Publication date: 1991

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Skorokhod integralanticipative stochastic calculustransformation of the Gaussian measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Nonlinear transformations of the canonical Gauss measure on Hilbert space and absolute continuity ⋮ Transformation of the Wiener measure under non-invertible shifts ⋮ Linear stochastic differential equations and Wick products ⋮ Rotations and quasi-invariance on the path space ⋮ Some sufficient conditions for Novikov’s criterion ⋮ Gaussian measures on linear spaces ⋮ Stochastic differential equations driven by fractional Brownian motions ⋮ The Itô integral and near-martingales in Riesz spaces ⋮ Stochastic Integral for Non-Adapted Processes Related to Sub-Fractional Brownian Motion when $H>1/2$ ⋮ Transformation of Wiener measure under anticipative flows ⋮ Anticipative Markovian transformations on the Poisson space. ⋮ Randomness and nonlinear evolution equations ⋮ Differentiable measures and the Malliavin calculus ⋮ Dynamical systems generated by Sobolev class vector fields in finite and infinite dimensions ⋮ Absolutely continuous flows generated by Sobolev class vector fields in finite and infinite dimensions

Cites Work

• Generalized stochastic integrals and the Malliavin calculus
• Stochastic calculus with anticipating integrands
• On nonlinear transformations of Gaussian measures
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