Girsanov’s theorem in vector lattices View Full Text


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Article Info

DATE

2019-02-07

AUTHORS

Jacobus J. Grobler, Coenraad C. A. Labuschagne

ABSTRACT

In this paper we formulate and proof Girsanov’s theorem in vector lattices. To reach this goal, we develop the theory of cross-variation processes, derive the cross-variation formula and the Kunita–Watanabe inequality. Also needed and derived are properties of exponential processes, Itô’s rule for multi-dimensional processes and the integration by parts formula for martingales. After proving Girsanov’s theorem for the one-dimensional case, we also discuss the multi-dimensional case. More... »

PAGES

1065-1099

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11117-019-00649-5

DOI

http://dx.doi.org/10.1007/s11117-019-00649-5

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1111982778


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