On Anticipative Girsanov Transformations for Lévy Processes

Horst Osswald ()
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Horst Osswald: Mathematisches Institut der Universität München

Journal of Theoretical Probability, 2009, vol. 22, issue 2, 474-481

Abstract: Abstract The smooth approach to Malliavin calculus for Lévy processes in (Osswald in J. Theor. Probab., 2008) is used to study time-anticipative Girsanov transformations for a large class of Lévy processes by means of the substitution rule in finite-dimensional analysis.

Keywords: Lévy processes; Girsanov transformations; 60G51; 60H07; 60H40; 26E35 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10959-008-0197-z

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