Article ID Journal Published Year Pages File Type
1154001 Statistics & Probability Letters 2007 9 Pages PDF
Abstract

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.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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A formula for transition density function under Girsanov transform
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