Übersetzung für 'Girsanov' von Englisch nach Deutsch

Girsanov theorem [also: Girsanov's theorem]

Satz {m} von Girsanowmath.

• In probability theory, Novikov's condition is the sufficient condition for a stochastic process which takes the form of the Radon–Nikodym derivative in Girsanov's theorem to be a martingale.
• Local martingales are essential in stochastic analysis (see Itō calculus, semimartingale, and Girsanov theorem).
• For example, it is sufficient for applications of Itô's Lemma, changes of measure via Girsanov's theorem, and for the study of stochastic differential equations.
• Since 1915 (according to other data – since 1916) the mansion belonged to Fedor Stepanovich Girsanov and his family.
• Applying Girsanov's theorem allows expressing the dynamics of the modeled financial variables under the pricing measure and therefore estimating this convexity adjustment.

• One can distinguish two periods in Girsanov's academic work.
• Amongst other fields, financial mathematics uses the theorem extensively, in particular via the Girsanov theorem.
• Girsanov's Formula states the likelihood ratio [...].
• Stochastic exponential plays an important role in the formulation of Girsanov's theorem and arises naturally in all applications where relative changes are important since [...] measures the cumulative percentage change in [...].
• One will then attempt to apply Girsanov theorem by first computing [...]; that is, the Radon–Nikodym derivative with respect to the observed market probability distribution.