The radon-nikodym tag has no wiki summary.
0
votes
0answers
65 views
SDE(s) satisfied by Radon-Nikodym derivatives of certain martingale measures [closed]
Given:
Money Market Account: $dR_{t}=R_{t}r_{t}dt, R_{0}>0$
Risky Asset: $dS_{t}=S_{t}(\mu_{t}dt+\sigma_{t}dB_{t}), S_{0}>0$,
where $r, \mu,$ and $\sigma$ are positive processes and $B$ is a ...
5
votes
2answers
371 views
Version of Girsanov theorem with changing volatility
Is there a version of Girsanov theorem when the volatility is changing?
For example Girsanov theorem states that Radon Nikodym (RN) derivative for a stochastic equation is used to transform the ...
