{"id":{"repo_id":"lsu-thes","oai_identifier":"oai:repository.lsu.edu:gradschool_dissertations-1997"},"canonical_url":"https://search.dev.ndltd.org/etd/lsu-thes/oai:repository.lsu.edu:gradschool_dissertations-1997","repository":{"repo_id":"lsu-thes","name":"Lousiana State University","base_url":"https://repository.lsu.edu/do/oai/"},"display":{"title":"On moment conditions for the Girsanov Theorem","abstract":"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 to prove the Girsanov Theorem. Many sufficient conditions for the validity of the Girsanov Theorem have been found since the publication of the result by Girsanov in 1960. We will compare our conditions with some of these conditions. 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As an application of the Girsanov Theorem, we will show the nonexistence of an arbitrage in a market and will also explain a simplified version of Black-Scholes model.","abstract_has_math":false,"creators":["Lee, See Keong"],"institution":"Mathematics","degree_name":"Doctor of Philosophy (PhD)","degree_level":"Dissertation","degree_discipline":"Applied Mathematics","degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2006,"date_issued":"2006-01-01T08:00:00Z","date_published":"2006-01-01T08:00:00Z","updated_at":"2026-07-24T02:58:40Z","subjects":["martingale","exponential process","local martingale","Girsanov theorem","Black-Scholes model","ito integral"],"languages":[],"rights":["unrestricted","Release the entire work immediately for access worldwide."],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["etd-11162006-111635","https://repository.lsu.edu/gradschool_dissertations/998"],"render_values":[{"text":"etd-11162006-111635","href":null,"code":true},{"text":"https://repository.lsu.edu/gradschool_dissertations/998","href":"https://repository.lsu.edu/gradschool_dissertations/998","code":true}]}]},"links":{"outbound_url":"https://doi.org/10.31390/gradschool_dissertations.998","outbound_label":"DOI","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["Lee, See Keong"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2006-12-13"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2022-05-12T23:10:41Z"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Applied Mathematics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Doctor of Philosophy (PhD)"]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["Mathematics"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["martingale","exponential process","local martingale","Girsanov theorem","Black-Scholes model","ito integral"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:rights","label":"Dc Rights","values":["unrestricted","Release the entire work immediately for access worldwide."]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["etd-11162006-111635","10.31390/gradschool_dissertations.998","https://repository.lsu.edu/gradschool_dissertations/998"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["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 to prove the Girsanov Theorem. Many sufficient conditions for the validity of the Girsanov Theorem have been found since the publication of the result by Girsanov in 1960. We will compare our conditions with some of these conditions. As an application of the Girsanov Theorem, we will show the nonexistence of an arbitrage in a market and will also explain a simplified version of Black-Scholes model."]},{"key":"dc:title","label":"Title","values":["On moment conditions for the Girsanov Theorem"]}]}],"canonical_facts":{"dc:creator":["Lee, See Keong"],"dc:date":["2006-12-13"],"dc:date.available":["2022-05-12T23:10:41Z"],"dc:description.abstract":["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 to prove the Girsanov Theorem. Many sufficient conditions for the validity of the Girsanov Theorem have been found since the publication of the result by Girsanov in 1960. We will compare our conditions with some of these conditions. As an application of the Girsanov Theorem, we will show the nonexistence of an arbitrage in a market and will also explain a simplified version of Black-Scholes model."],"dc:identifier":["etd-11162006-111635","10.31390/gradschool_dissertations.998","https://repository.lsu.edu/gradschool_dissertations/998"],"dc:rights":["unrestricted","Release the entire work immediately for access worldwide."],"dc:subject":["martingale","exponential process","local martingale","Girsanov theorem","Black-Scholes model","ito integral"],"dc:title":["On moment conditions for the Girsanov Theorem"],"thesis:degree_discipline":["Applied Mathematics"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Doctor of Philosophy (PhD)"],"thesis:institution_name":["Mathematics"]},"updated_at":"2026-07-24T02:58:40Z"}