Questions tagged [girsanov-theorem]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1 vote
0 answers
32 views

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 $W^1$ ...
PeterGoGo's user avatar
5 votes
1 answer
166 views

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
  • 1,219