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Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.

4 votes

Converse to Girsanov's theorem?

http://books.google.com.sg/books?id=YoMr5Mbo6coC&pg=PA164&lpg=PA164&dq=bjork+girsanov+theorem&source=bl&ots=imju5rQt6e&sig=Tp9bgNO6hDNZEXuEy6tmBs5nwZY&hl=en&sa=X&ei=HYkUUdaELoqKrgesioHYDA&redir_esc=y# …
Alexey Kvashchuk's user avatar