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Change of measure up to a random time: theory
Published online by Cambridge University Press: 14 July 2016
Abstract
Change of measure up to fixed times or stopping times is the theme of the famous Cameron–Martin–Girsanov formula. The paper studies change of measure up to random times which are not stopping times of the natural filtration. The ultimate aim is to build up a family of interesting models for physics and chemistry.
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- Copyright © Applied Probability Trust 1991
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