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Change of measure up to a random time: theory

Published online by Cambridge University Press:  14 July 2016

T. M. Mortimer  and
David Williams
T. M. Mortimer
Affiliation:
University of Cambridge
David Williams*
Affiliation:
University of Cambridge
*
∗ Postal address: Statistical Laboratory, 16 Mill Lane, Cambridge CB2 1SB, UK.
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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.

Keywords

CONDITIONINGCAMERON–MARTIN–GIRSANOV FORMULAMARTINGALEDOOB TRANSFORM

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 28 , Issue 4 , December 1991 , pp. 914 - 918
Copyright
Copyright © Applied Probability Trust 1991 

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References

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[4] Mortimer, T. M. Change of measure up to a random time: applications and criticality (to appear).Google Scholar
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