The Annals of Probability
- Ann. Probab.
- Volume 2, Number 5 (1974), 879-888.
Transformation of Local Martingales Under a Change of Law
Girsanov showed that under an absolutely continuous change in probability measure a Wiener process is transformed into the sum of a Wiener process and a second process with sample functions which are absolutely continuous. This result has a natural generalization in the context of local martingales. This generalization is derived in this paper, and some of its ramifications are examined. As a simple application, the likelihood ratio for a single-server queueing process with very general arrival and service characteristics is derived.
Ann. Probab., Volume 2, Number 5 (1974), 879-888.
First available in Project Euclid: 19 April 2007
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Schuppen, Jan H. Van; Wong, Eugene. Transformation of Local Martingales Under a Change of Law. Ann. Probab. 2 (1974), no. 5, 879--888. doi:10.1214/aop/1176996554. https://projecteuclid.org/euclid.aop/1176996554