arXiv Analytics

Sign in

arXiv:1004.4173 [math.PR]AbstractReferencesReviewsResources

An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula

Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi

Published 2010-04-23, updated 2011-06-07Version 2

In this paper, we will give a new perspective to the Cameron-Martin-Maruyama-Girsanov formula by giving a totally algebraic proof to it. It is based on the exponentiation of the Malliavin-type differentiation and its adjointness.

Comments: 16 pages, this will be soon published in the Mathematical Journal Okayama University
Categories: math.PR
Related articles: Most relevant | Search more
arXiv:1802.07150 [math.PR] (Published 2018-02-20)
The Algebraic Approach to Duality: An Introduction
arXiv:1605.05136 [math.PR] (Published 2016-05-17)
Random walks on the BMW monoid: an algebraic approach
arXiv:2012.03227 [math.PR] (Published 2020-12-06)
An algebraic approach to product-form stationary distributions for some reaction networks

Links

Toolbox