Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:mathematical_concept
|
| gptkbp:appliesTo |
gptkb:Itô_processes
Brownian motion |
| gptkbp:category |
gptkb:mathematical_concept
|
| gptkbp:countryOfPublication |
gptkb:Russian
|
| gptkbp:describes |
change of measure for stochastic processes
|
| gptkbp:enables |
measure transformation
risk-neutral pricing |
| gptkbp:field |
gptkb:probability_theory
gptkb:stochastic_process |
| https://www.w3.org/2000/01/rdf-schema#label |
Girsanov theorem
|
| gptkbp:namedAfter |
gptkb:Igor_Vladimirovich_Girsanov
|
| gptkbp:publicationYear |
1960
|
| gptkbp:publishedIn |
gptkb:Doklady_Akademii_Nauk_SSSR
|
| gptkbp:relatedTo |
gptkb:martingale
gptkb:Novikov's_condition gptkb:Cameron-Martin_theorem gptkb:Radon-Nikodym_derivative |
| gptkbp:state |
under certain conditions, the drift of a Brownian motion can be changed by an equivalent change of measure
|
| gptkbp:usedIn |
mathematical finance
stochastic differential equations |
| gptkbp:bfsParent |
gptkb:Igor_Borisovich_Girsanov
|
| gptkbp:bfsLayer |
7
|