A formula for transition density function under Girsanov transform

Ruili Song and Jiangang Ying

Statistics & Probability Letters, 2007, vol. 77, issue 6, 658-666

Abstract: In this paper, we shall establish a representation formula for transition density function of a certain type of right processes under Girsanov transform and give the infinitesimal generator of the transformed process.

Keywords: Transition; density; function; Infinitesimal; generator; Lévy; system; Girsanov; theorem (search for similar items in EconPapers)
Date: 2007
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