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Chapter 6: Change of Measure. General Facts
https://doi.org/10.1142/9789814678599_0006Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
Basic Definitions. Density Process
Discrete Version of Girsanov's Theorem
Semimartingale Version of Girsanov's Theorem
Esscher's Change of Measure
