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Lecture 62: martingale representation theorem

The martingale representation theorem in the case of a multidimensional Brownian motion: representation of L^2 martingales and local martingales.

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Lecture 58: the Girsanov theorem

The Girsanov theorem in the multidimensional case. Novikov's condition.

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Lectures 27-28: the Girsanov theorem and the martingale representation theorem

Levy's characterization of Brownian motion. Drift transformation in the Brownian motion and the Girsanov theorem. The martingale representation theorem. Representation of densities of…

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