An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula

Details An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula

2010-04-23

arxiv.org/abs/1004.4173v2

Mathematics

Probability

16 pages, this will be soon published in the Mathematical Journal Okayama University

Scientific paper

In this paper, we will give a new perspective to the
Cameron-Martin-Maruyama-Girsanov formula by giving a totally algebraic proof to
it. It is based on the exponentiation of the Malliavin-type differentiation and
its adjointness.

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