On anticipative Girsanov transformations for Lévy processes
type: Item
instance of: scholarly article
title: On anticipative Girsanov transformations for Lévy processes
zbMATH Open document ID: 1177.60049
author: Horst Osswald
published in: Journal of Theoretical Probability
publication date: 2009-07-06T00:00:00Z
review text: The smooth approach to Malliavin calculus for Lévy processes in the author's paper [J. Theor. Probab. 22, No. 2, 441--473 (2009; Zbl 1166.60032)] is used to study time-anticipative Girsanov transformations for a large class of Lévy processes by means of the substitution rule in finite-dimensional analysis.
reviewed by: Elisa Alòs
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60H40
Mathematics Subject Classification ID: 26E35
zbMATH DE Number: 5576006
zbMATH Keywords: Lévy processes
zbMATH Keywords: Girsanov transformation
zbMATH Keywords: Malliavin calculus
MaRDI profile type: Publication
full work available at URL: s10959-008-0197-z
OpenAlex ID: W1991955077
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DOI: 10.1007/S10959-008-0197-Z
description: scientific article; zbMATH DE number 5576006