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Transformation of Measure on Wiener Space
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154 b
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This book gives a systematic presentation of the main results on the transformation of measure induced by shift transformations on Wiener space. This topic has its origins in the work of Cameron and Martin (anticipative shifts, 1940's) and that of Girsanov (non-anticipative shifts, 1960's). It played an important role in the development of non-anticipative stochastic calculus and itself developed under the impulse of the stochastic calculus of variations. Basic probability theory and the Ito calculus are assumed known; the necessary results from the Malliavin calculus are presented in the appendix. Aimed at graduatestudents and researchers, it can be used as a text for a course or a seminar.
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