Explain Girsanov’s Theorem in briefly

Explain Girsanov’s Theorem in briefly.

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First a statement of the Girsanov’s theorem. Assume that Wt be a Brownian motion with measure P and sample space ?. If γt is a pre-visible process satisfying the constraint EP

765_constraint of motion.png

then there exists an equivalent measure Q on ? therefore

2107_Girsanov’s Theorem1.png

is a Brownian motion.

 

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