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arXiv · 1912.01339

A Girsanov Result through Birkhoff Integral

Domenico Candeloro·Anna Rita Sambucini
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Abstract

A vector-valued version of the Girsanov theorem is presented, for a scalar process with respect to a Banach-valued measure. Previously, a short discussion about the Birkhoff-type integration is outlined, as for example integration by substitution, in order to fix the measure-theoretic tools needed for the main result, Theorem 6, where a martingale equivalent to the underlying vector probability has been obtained in order to represent the modified process as a martingale with the same marginals as the original one.

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Domenico Candeloro, Anna Rita Sambucini. 2019-12-03. A Girsanov Result through Birkhoff Integral. https://doi.org/10.1007/978-3-319-95162-1_47

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