Acta mathematica scientia,Series B ›› 1998, Vol. 18 ›› Issue (S1): 51-57.

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A GENERALIZED GIRSANOV THEOREM AND ITS APPLICATION

Liu Jinfu   

  1. 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

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

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