Ramasubramanian, S. (1979) An elementary proof of Girsanov's formula Sankhya - Series A, 41 (3/4). pp. 263-270. ISSN 0581-572X
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Official URL: http://www.jstor.org/pss/25050201
Abstract
Using the classical Cameron-Martin formula and a discrete approximation procedure, we compute Radon Nikodym derivatives for certain random translations in the Wiener space; we also obtain Girsanov's formula as a corollary.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Indian Statistical Institute. |
| ID Code: | 52192 |
| Deposited On: | 03 Aug 2011 06:43 |
| Last Modified: | 03 Aug 2011 06:43 |
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