A GENERALIZED GIRSANOV THEOREM AND ITS APPLICATION

数学物理学报(英文版) ›› 1998, Vol. 18 ›› Issue (S1): 51-57.

A GENERALIZED GIRSANOV THEOREM AND ITS APPLICATION

柳金甫

Department of Mathematics, Northern Jiaotong University, Beijing 100044. China

收稿日期:1996-02-05 修回日期:1997-10-15 出版日期:1998-12-31 发布日期:1998-12-31

A GENERALIZED GIRSANOV THEOREM AND ITS APPLICATION

Liu Jinfu

Department of Mathematics, Northern Jiaotong University, Beijing 100044. China

Received:1996-02-05 Revised:1997-10-15 Online:1998-12-31 Published:1998-12-31

摘要/Abstract

摘要： The purpose of tall Paper is to geueralize the Girsanov theorem to the case of a local martingale. The author uses the generalized Girsanov theorem to prove the existence ed uniqueness of diffusion processes with sigular drift terms.This result is much more general than the corresponding results in[4] and[8].

关键词: food martingale, diffusion processes, singular drift terms

Abstract: The purpose of tall Paper is to geueralize the Girsanov theorem to the case of a local martingale. The author uses the generalized Girsanov theorem to prove the existence ed uniqueness of diffusion processes with sigular drift terms.This result is much more general than the corresponding results in[4] and[8].

Key words: food martingale, diffusion processes, singular drift terms

柳金甫. A GENERALIZED GIRSANOV THEOREM AND ITS APPLICATION[J]. 数学物理学报(英文版), 1998, 18(S1): 51-57.

Liu Jinfu. A GENERALIZED GIRSANOV THEOREM AND ITS APPLICATION[J]. Acta mathematica scientia,Series B, 1998, 18(S1): 51-57.

A GENERALIZED GIRSANOV THEOREM AND ITS APPLICATION

A GENERALIZED GIRSANOV THEOREM AND ITS APPLICATION

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