Probability Structure Preserving and Absolute Continuity ✩

نویسنده

  • Yaozhong HU
چکیده

– The concept of probability structure preserving mapping is introduced. The idea is applied to define stochastic integral for fractional Brownian motion (fBm) and to obtain an anticipative Girsanov theorem for fBm.  2002 Éditions scientifiques et médicales Elsevier SAS AMS classification: 60H05; 60H07; 60H15; 60B11; 28B20

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تاریخ انتشار 2002