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arXiv · 1004.4173

An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula

Jiro Akahori·Takafumi Amaba·Sachiyo Uraguchi
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Abstract

In this paper, we will give a new perspective to the Cameron-Martin-Maruyama-Girsanov formula by giving a totally algebraic proof to it. It is based on the exponentiation of the Malliavin-type differentiation and its adjointness.

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Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi. 2011-06-07. An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula. https://arxiv.org/abs/1004.4173

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