Girsanov formula for $G$-Brownian motion: the degenerate case
Probability
2020-02-19 v3
Abstract
In this paper, we prove the Girsanov formula for -Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the -expectation space and a linear space that contains a standard Brownian motion. The estimates for exponential martingale of -Brownian motion are important for our arguments.
Keywords
Cite
@article{arxiv.1808.01825,
title = {Girsanov formula for $G$-Brownian motion: the degenerate case},
author = {Guomin Liu},
journal= {arXiv preprint arXiv:1808.01825},
year = {2020}
}