An extension of the Cameron–Martin result
An extension of the Cameron–Martin result
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卡梅伦-马丁结果的延伸
DOI：
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发表时间：
1993
影响因子：
1
通讯作者：
A. Yashin
中科院分区：
文献类型：
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作者：
A. Yashin
著名的Cameron-Martin公式允许我们计算Ws是Wiener过程的数学期望。本文将这一结果推广到分段连续鞅的情形。作为特例，计算了广义Ornstein-Uhlenbeck过程和纯跳过程泛函的数学期望。
The well-known Cameron–Martin formula allows us to calculate the mathematical expectation where Ws is a Wiener process. This paper extends this result to the case of piecewise continuous martingales. As a particular case the mathematical expectations of a functional of generalized Ornstein– Uhlenbeck processes and pure jump processes are calculated.