Anticipative diffusion and related change of measures
type: Item
instance of: scholarly article
title: Anticipative diffusion and related change of measures
zbMATH Open document ID: 0804.60072
author: Andrew Lyasoff
author: Daniel W. Stroock
published in: Journal of Functional Analysis
publication date: 1995-01-19T00:00:00Z
review text: The authors consider anticipating drifts of the form \(G(t)= \int_ 0^ t g(s,w) ds\), \(t\in [0,1]\), in the standard Wiener space \(\Omega\). If \(g\) is square integrable, under some assumptions on its Lipschitz norm one can find \(e_ g\) such that for all bounded measurable \(\varphi\) on \(\Omega\), \(E[\varphi (\cdot+ G)e_ g]= E\varphi\). This formula for \(e_ g\) enables to obtain estimates on its moments. The approach is based on the embedding of the shift by \(G\) in a suitable flow which evolves from the identity transformation.
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 515264
zbMATH Keywords: change of measures
zbMATH Keywords: anticipating drifts
zbMATH Keywords: embedding of the shift
reviewed by: R. Mikulevicius
MaRDI profile type: Publication
full work available at URL: jfan.1993.1119
OpenAlex ID: W2082777259
DOI: 10.1006/JFAN.1993.1119
description: scientific article; zbMATH DE number 515264