A girsanov result for the pettis integral

Domenico Candeloro; Anna Rita Sambucini; Luca Trastulli

doi:10.14321/realanalexch.46.1.0175

Abstract

A kind of Pettis integral representation for a Banach valued Itô process is given and its drift term is modified using a Girsanov Theorem.

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Domenico Candeloro. Anna Rita Sambucini. Luca Trastulli. "A girsanov result for the pettis integral." Real Anal. Exchange 46 (1) 175 - 190, 2021. https://doi.org/10.14321/realanalexch.46.1.0175

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Published: 2021

First available in Project Euclid: 14 October 2021

Digital Object Identifier: 10.14321/realanalexch.46.1.0175

Subjects:

Primary: 28B05 , 28B20

Secondary: 26E25 , 46B20 , ‎54C60‎

Keywords: Girsanov theorem , martingale , Pettis multivalued integral

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