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Showing 1 to 2 of 2 for “"Girsanov theorem"”.
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On moment conditions for the Girsanov Theorem
In this dissertation, the well-known Girsanov Theorem will be proved under a set of moment conditions on exponential processes. Our conditions are motivated by the desire to avoid using the local martingale theory in the proof of the Girsanov Theorem. Namely, we will only use the martingale theory …
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Harnack inequalities and applications for stochastic equations
… Maßen, genauer Bildmaß-Transformationen und die Girsanov-Transformation (zusammen mit einem Kopplungsargument). Die letztere Methode wurde von Arnaudon et al. in 2006 eingeführt. Mithilfe einfacher Bildmaß-Transformationen zeigen wir eine optimale Harnack-Ungleichung für die Gauß'sche …