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An extension of the Cameron–Martin result

Part of: Stochastic analysis Stochastic processes

Published online by Cambridge University Press:  14 July 2016

A. I. Yashin
A. I. Yashin*
Affiliation:
Odense University
*
∗ Postal address: Odense Universitet, ISH, Vinsløws Vej 17, 1, DK-5000 Odense C, Denmark. Currently visiting Duke University.
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Abstract

The well-known Cameron–Martin formula allows us to calculate the mathematical expectation where Ws is a Wiener process. This paper extends this result to the case of piecewise continuous martingales. As a particular case the mathematical expectations of a functional of generalized Ornstein– Uhlenbeck processes and pure jump processes are calculated.

Keywords

MARTINGALESEXPONENTIAL FUNCTIONALS

MSC classification

Primary: 60G44: Martingales with continuous parameter
Secondary: 60H30: Applications of stochastic analysis (to PDE, etc.)
Type
Short Communications
Information
Journal of Applied Probability , Volume 30 , Issue 1 , March 1993 , pp. 247 - 251
Copyright
Copyright © Applied Probability Trust 1993 

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References

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