A Girsanov Result through Birkhoff Integral
Functional Analysis
2019-12-04 v1
Abstract
A vector-valued version of the Girsanov theorem is presented, for a scalar process with respect to a Banach-valued measure. Previously, a short discussion about the Birkhoff-type integration is outlined, as for example integration by substitution, in order to fix the measure-theoretic tools needed for the main result, Theorem 6, where a martingale equivalent to the underlying vector probability has been obtained in order to represent the modified process as a martingale with the same marginals as the original one.
Cite
@article{arxiv.1912.01339,
title = {A Girsanov Result through Birkhoff Integral},
author = {Domenico Candeloro and Anna Rita Sambucini},
journal= {arXiv preprint arXiv:1912.01339},
year = {2019}
}