Abstract
Given a Symmetrie Markov process, its Girsanov transformation is characterized in terms of Donsker-Varadhan's entropy for stationary processes. This is applied to getting a limit theorem for Girsanov transformations.
| Original language | English |
|---|---|
| Pages (from-to) | 481-488 |
| Number of pages | 8 |
| Journal | Forum Mathematicum |
| Volume | 2 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1990 |
ASJC Scopus subject areas
- Mathematics(all)
- Applied Mathematics