Girsanov Theorem for G-Brownian Motion: The Degenerate Case
In this paper, we prove the Girsanov theorem for G -Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the G -expectation space and a linear space that contains a standard Brownian motion. Th...
Gespeichert in:
Veröffentlicht in: | Journal of theoretical probability 2021-03, Vol.34 (1), p.125-140 |
---|---|
1. Verfasser: | |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Zusammenfassung: | In this paper, we prove the Girsanov theorem for
G
-Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the
G
-expectation space and a linear space that contains a standard Brownian motion. The estimates for exponential martingales of
G
-Brownian motion are important for our arguments. |
---|---|
ISSN: | 0894-9840 1572-9230 |
DOI: | 10.1007/s10959-020-00997-z |