Search for tag: "girsanov theorem"
Lecture 62: martingale representation theoremThe martingale representation theorem in the case of a multidimensional Brownian motion: representation of L^2 martingales and local martingales.
From Tiziano Vargiolu
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Lecture 58: the Girsanov theoremThe Girsanov theorem in the multidimensional case. Novikov's condition.
From Tiziano Vargiolu
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Lectures 27-28: the Girsanov theorem and the martingale representation theoremLevy's characterization of Brownian motion. Drift transformation in the Brownian motion and the Girsanov theorem. The martingale representation theorem. Representation of densities of…
From Tiziano Vargiolu
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