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.
A Girsanov result through Birkhoff integral
Candeloro DomenicoMembro del Collaboration Group
;Sambucini Anna Rita
Membro del Collaboration Group
2018
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.File in questo prodotto:
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