A note on a result of Liptser-Shiryaev

Details A note on a result of Liptser-Shiryaev A note on a result of Liptser-Shiryaev

2010-05-03

arxiv.org/abs/1005.0237v2

Mathematics

Probability

22 pages; revised and enlarged version

Scientific paper

Given two stochastic equations with different drift terms, under very weak assumptions Liptser and Shiryaev provide the equivalence of the laws of the solutions to these equations by means of Girsanov transform. Their assumptions involve both the drift terms. We are interested in the same result but with the main assumption involving only the difference of the drift terms. Applications of our result will be presented in the finite as well as in the infinite dimensional setting.

Affiliated with

Also associated with

No associations

Rating

A note on a result of Liptser-Shiryaev does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A note on a result of Liptser-Shiryaev, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A note on a result of Liptser-Shiryaev will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-658343