Girsanov theorem for stochastic flows with interaction
We prove an analog of the Girsanov theorem for the stochastic differential equations with interaction $$dz(u,t) = a(z(u,t),μt)dt + ∫R f(z(u,t)−p)W(dp,dt),$$ where $W$ is a Wiener sheet on $ℝ × [0; +∞)$ and $a(∙)$ is a function of special type.
English version (Springer): Ukrainian Mathematical Journal 61 (2009), no. 3, pp 435-456.
Citation Example: Malovichko T. V. Girsanov theorem for stochastic flows with interaction // Ukr. Mat. Zh. - 2009. - 61, № 3. - pp. 384-390.