A Generalized Girsanov's Theorem

Author
Criens, David · Glau, Kathrin
Year 2017
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Abstract

In this article we derive a generalized Girsanov's theorem, which relates laws of two possibly explosive semimartingales to a candidate density process. Our proof is based on an extension theorem for consistent families of probability measures. We present two applications of our generalized Girsanov's theorem: First, in explosive and non-explosive settings, we give sufficient and necessary conditions for local equivalence and absolute continuity of laws of semimartingales. Second, we derive linear growth conditions for the martingale property of stochastic exponentials.

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Details

Title
A Generalized Girsanov's Theorem
Author
Criens, David · Glau, Kathrin
Year
2017
Type
Research Article
Language
eng
History
2017-06-15 00:00:00
Categories
Probability
This is Version 1 of this record. We added this version on June 17, 2017. This version is based on an original data import from arXiv.org e-Print archive.