| dc.contributor.author | Grobler, Jacobus J. | |
| dc.contributor.author | Labuschagne, Coenraad C.A. | |
| dc.date.accessioned | 2019-03-05T13:59:11Z | |
| dc.date.available | 2019-03-05T13:59:11Z | |
| dc.date.issued | 2019 | |
| dc.identifier.citation | Grobler, J.J. & Labuschagne, C.C.A. 2019. Girsanov’s theorem in vector lattices. Positivity, (In press). [https://doi.org/10.1007/s11117-019-00649-5] | en_US |
| dc.identifier.issn | 1385-1292 | |
| dc.identifier.issn | 1572-9281 (Online) | |
| dc.identifier.uri | http://hdl.handle.net/10394/31897 | |
| dc.identifier.uri | https://link.springer.com/article/10.1007/s11117-019-00649-5 | |
| dc.identifier.uri | https://doi.org/10.1007/s11117-019-00649-5 | |
| dc.description.abstract | In this paper we formulate and proof Girsanov’s theorem in vector lattices. To reach this goal, we develop the theory of cross-variation processes, derive the cross-variation formula and the Kunita–Watanabe inequality. Also needed and derived are properties of exponential processes, Itô’s rule for multi-dimensional processes and the integration by parts formula for martingales. After proving Girsanov’s theorem for the one-dimensional case, we also discuss the multi-dimensional case | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Springer | en_US |
| dc.subject | Vector lattice | en_US |
| dc.subject | Riesz space | en_US |
| dc.subject | Stochastic process | en_US |
| dc.subject | Brownian motion | en_US |
| dc.subject | Itô integral | en_US |
| dc.subject | Martingale | en_US |
| dc.subject | Girsanov’s theorem | en_US |
| dc.title | Girsanov’s theorem in vector lattices | en_US |
| dc.type | Article | en_US |
| dc.contributor.researchID | 10173501 - Grobler, Jacobus Johannes | |
