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A formula for transition density function under Girsanov transform

Author

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  • Song, Ruili
  • Ying, Jiangang

Abstract

In this paper, we shall establish a representation formula for transition density function of a certain type of right processes under Girsanov transform and give the infinitesimal generator of the transformed process.

Suggested Citation

  • Song, Ruili & Ying, Jiangang, 2007. "A formula for transition density function under Girsanov transform," Statistics & Probability Letters, Elsevier, vol. 77(6), pages 658-666, March.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:6:p:658-666
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    References listed on IDEAS

    as
    1. Qian, Zhongmin & Zheng, Weian, 2004. "A representation formula for transition probability densities of diffusions and applications," Stochastic Processes and their Applications, Elsevier, vol. 111(1), pages 57-76, May.
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