Questions tagged [girsanov-theorem]

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Does Girsanov theorem hold under conditional distribution?

One application of Girsanov's theorem is in stochastic control theory. Suppose I have uncontrolled process $dX_t = \sigma^0(X_t)dW^0_t + dW^1_t$ under $\mathbb P$ on $[0, T]$, where $W^0$ and $W^1$ ...
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Girsanov-type Theorem that alters the variance of a Wiener process

Consider a general probability space $(\Omega, \mathcal{F}, \mathbb{S})$, on which two or more other probability measures, $\mathbb{P}_1$, $\mathbb{P}_2$,...,$\mathbb{P}_j$,...,$\mathbb{P}_n$ are ...
Jan Stuller's user avatar
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