Girsanov theorem for stochastic flows with interaction
AbstractWe 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.
How to Cite
Malovichko, T. V. “Girsanov Theorem for Stochastic Flows With Interaction”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 61, no. 3, Mar. 2009, pp. 384-90, https://umj.imath.kiev.ua/index.php/umj/article/view/3025.