A formula for transition density function under Girsanov transform

作者：Song Ruili^*; Ying Jiangang

来源：Statistics & Probability Letters, 2007, 77(6): 658-666.

DOI：10.1016/j.spl.2006.11.001

• transition density function
• infinitesimal generator
• Levy system
• Girsanov theorem

In this paper, we shall establish a representation formula for transition density function of a certain type of right processes under Girsanov transform and give the infinitesimal generator of the transformed process.

• 出版日期2007-3-15
• 单位复旦大学