A technique for exponential change of measure for Markov processes

Bernoulli

Volumn 8, Issue 6, 2002, Pages 767-785

  Palmowski, Zbigniew ^a,b   Rolski, Tomasz ^a  

^a UNIVERSITY OF WROC AW   (Poland)

^b EURANDOM   (Netherlands)

Author keywords

Cameron Martin girsanov theorem; Diffusion process; Exponential change of measure; Extended generator; Local martingale; Markov additive process; Markov process; Piecewise deterministic markov process

Indexed keywords

EID: 0038230568     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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