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Alkmene
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Posts: 301
Joined: January 18th, 2007, 10:19 pm

Girsanov

October 21st, 2010, 12:21 am

Quick one:Not hiding my ignorance in any way: (1) is the process X in "xi" (the greek letter) in the Girsanov theorem (using Neftci's notation) a random process of a certain form? Any restrictions (other than the Novikov condition)? Just looking at the formulation of "xi" I presume that X is a function of a Wiener process as the integral is taken with respect to dW but I can't see this mentioned explicitly.(2) Neftci shows that "xi" is a square integrable martingale. why is this of relevance?thanks,Alk
 
User avatar
Alkmene
Topic Author
Posts: 301
Joined: January 18th, 2007, 10:19 pm

Girsanov

October 21st, 2010, 1:04 am

Well, I can see that it could be a constant, but could it also be an Ito process?thanks for any help,A
Last edited by Alkmene on October 20th, 2010, 10:00 pm, edited 1 time in total.
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