Nonanticipative transformations of the two-parameter Wiener process and a Girsanov theorem

Nonanticipative linear transformations of the two-parameter Wiener process W are studied. It is shown that they induce measures equivalent to two-parameter Wiener measure and the corresponding Radon-Nikodym derivatives are calculated. A two-parameter extension of Girsanov's theorem is established for a class of nonanticipative, possibly nonlinear transformations of W.

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Year of publication:	1977
Authors:	Etemadi, N. ; Kallianpur, G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 7.1977, 1, p. 28-49
Publisher:	Elsevier
Keywords:	Nonanticipative transformations two-parameter Wiener process two-parameter martingales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221551