Browsing Faculty of Natural and Agricultural Sciences by Subject "Girsanov’s theorem"

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    • Girsanov’s theorem in vector lattices 

      Grobler, Jacobus J.; Labuschagne, Coenraad C.A. (Springer, 2019)
      In this paper we formulate and proof Girsanov’s theorem in vector lattices. To reach this goal, we develop the theory of cross-variation processes, derive the cross-variation formula and the Kunita–Watanabe inequality. ...