An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula
Probability
2011-06-08 v2
Abstract
In this paper, we will give a new perspective to the Cameron-Martin-Maruyama-Girsanov formula by giving a totally algebraic proof to it. It is based on the exponentiation of the Malliavin-type differentiation and its adjointness.
Keywords
Cite
@article{arxiv.1004.4173,
title = {An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula},
author = {Jiro Akahori and Takafumi Amaba and Sachiyo Uraguchi},
journal= {arXiv preprint arXiv:1004.4173},
year = {2011}
}
Comments
16 pages, this will be soon published in the Mathematical Journal Okayama University