An extension of the Cameron–Martin result
- 1 March 1993
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 30 (1) , 247-251
- https://doi.org/10.2307/3214636
Abstract
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.Keywords
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