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Skokan, Václav
Generalization of the Girsanov theorem. (English). Commentationes Mathematicae Universitatis Carolinae, vol. 29 (1988), issue 1, pp. 127-141
MSC: 60G44, 60G57, 60H05, 60H10, 60H20 | MR 937556 | Zbl 0648.60068
References:
[1] GIRSANOV I. V.: O preobrazovanii odnogo klassa sluchaĭnykh processov s pomoshchyu absolyutno nepreryvnoĭ zameny mery. Teoriya veroyatnostei i ee primeneniya 5 (1960), 314-330.
[2] ERSHOV M. P.: Ob absolyutnoĭ nepreryvnosti mer otyechayushchikh processam diffuzionnogo tipa. Teoriya veroyatnosteí i ee primeneniya 17 17 (1972), 173-179.
[3] GIKHMAN I. I., SKOROKHOD A. V.: Teoriya sluchaĭnykh processov. tom III, Izd.-vo Nauka, 1975, str. 345, 350. MR 0651014
[4] LIPCER R. SH., SHIRYAEV A. N.: Ob absolyutnoĭ nepreryvnosti mer sootvetstvuyushchikh processam diffuzionnogo tipa otnositelno vinerovskoĭ. Izv. AN SSSR, ser. matem. 36 (1972), 847-889.
[5] SKOROKHOD A. V.: O differenciruemosti mer sootvetstvuyushchikh sluchaĭnym processam. Teoriya veroyatnosteĭ i ee primeneniya 5 (1960), 45-53.
[6] GIKHMAN I. I., SKOROKHOD A. V.: Stokhasticheskie differencialnye uravneniya. Nauka, Dumka, 1968.
[7] LOEVE M.: Teoriya veroyatnosteĭ. Izd. in. literatury, Moskva 1962. MR 0140129
[8] MANDL P.: Stochastic integrals and their applications. (in Czech), ČSAV, Praha 1975.
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