On path-independent Girsanov transform

Zhang, SQ

Zhang, SQ (corresponding author), China Univ Min & Technol, Sch Math, Xuzhou, Jiangsu, Peoples R China.

APPLIED MATHEMATICS AND COMPUTATION, 2021; 395 ():

Abstract

This article provides a unified and more direct approach to path-independent Girsanov transformation for (possibly time-inhomogeneous) Markov processe......

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