Absolute Continuity Under Time Shift Of Trajectories And Related Stochastic Calculus
de Jorg-Uwe Lobus
Sobre o livro
This text is concerned with a class of two-sided stochastic processes of the form $X=W+A$. Here $W$ is a two-sided Brownian motion with random initial data at time zero and $A\equiv A(W)$ is a function of $W$. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when $A$ is a jump process.