Timeline for Girsanov Theorem - Dependence of the probability space
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Nov 13, 2019 at 16:12 | comment | added | jekodo | No, in $5.2$ the processes $Z$ and $\tilde{W}$ are not stopped. They are processes on timeline $[0,\infty)$. | |
| Nov 12, 2019 at 22:04 | comment | added | jekodo | Thanks. My problem is: As we can see in 5.2 Corollary $Z$ does not have to be UI martingale, but just an martingale, to let $Q$ as defined be a measure. But this is only true for a class of measure spaces, for example the Wiener Space. In generally cases $Z$ has to be a UI martingale. But a lot of works in this field just define $Q$ without asuming UI or a special case of measure space. | |
| Jul 16, 2019 at 14:55 | review | First posts | |||
| Jul 16, 2019 at 15:24 | |||||
| Jul 16, 2019 at 14:50 | history | asked | jekodo | CC BY-SA 4.0 |