Nonanticipative transformations of the two-parameter Wiener process and a Girsanov theorem

N. Etemadi and G. Kallianpur

Journal of Multivariate Analysis, 1977, vol. 7, issue 1, 28-49

Abstract: Nonanticipative linear transformations of the two-parameter Wiener process W are studied. It is shown that they induce measures equivalent to two-parameter Wiener measure and the corresponding Radon-Nikodym derivatives are calculated. A two-parameter extension of Girsanov's theorem is established for a class of nonanticipative, possibly nonlinear transformations of W.

Keywords: Nonanticipative; transformations; two-parameter; Wiener; process; two-parameter; martingales (search for similar items in EconPapers)
Date: 1977
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