학술저널
GIRSANOV THEOREM FOR GAUSSIAN PROCESS WITH INDEPENDENT INCREMENTS
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 19, No. 4
-
2006.121 - 9 (9 pages)
- 0
A characterization of Gaussian process with independent increments in terms of the support of covariance operator is established. We investigate the Girsanov formula for a Gaussian process with independent increments.
1. Introduction
2. Gaussian process with independent increments
3. Stochastic integral and Itô formula
4. The Girsanov theorem
(0)
(0)