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Girsanov

Posted: October 21st, 2010, 12:21 am
by Alkmene
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

Girsanov

Posted: October 21st, 2010, 1:04 am
by Alkmene
Well, I can see that it could be a constant, but could it also be an Ito process?thanks for any help,A