A Girsanov Type Theorem on the Path Space Over a Compact Riemannian Manifold

Authors: Jingxiao Zhang ^a; D. Kannan ^b

Affiliations:	^a School of Statistics, Renmin University of China, Beijing, P.R. China
	^b Department of Mathematics, University of Georgia, Athens, Georgia, USA

DOI: 10.1080/07362990701283003

Publication Frequency: 6 issues per year

Published in: journal

Stochastic Analysis and Applications, Volume 25, Issue 3 May 2007 , pages 667 - 678

Subjects: Statistics & Probability; Stochastic Models & Processes;

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Abstract

This article establishes a Girsanov type theorem on path spaces over compact Riemannian manifolds, generalizing the classical Girsanov theorem for Euclidean spaces.

Keywords: Girsanov theorem; Path space

Mathematics Subject Classification (2000): 60D05; 60H10; 93D20

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A Girsanov Type Theorem on the Path Space Over a Compact Riemannian Manifold

Abstract