Journal of the Chungcheong Mathematical Society (충청수학회지)
- Volume 19 Issue 4
- /
- Pages.383-391
- /
- 2006
- /
- 1226-3524(pISSN)
- /
- 2383-6245(eISSN)
GIRSANOV THEOREM FOR GAUSSIAN PROCESS WITH INDEPENDENT INCREMENTS
- Im, Man Kyu (Department of Mathematics Hannam University) ;
- Ji, Un Cig (Department of Mathematics Research Institute of Mathematical Finance Chungbuk National University) ;
- Kim, Jae Hee (Department of Mathematics Hanyang University)
- Received : 2006.11.14
- Published : 2006.12.31
Abstract
A characterization of Gaussian process with independent increments in terms of the support of covariance operator is established. We investigate the Girsanov formula for a Gaussian process with independent increments.