Reversing gaussian semimartingales without gauss^†

^†Part of this work was supported by NSF Grant No. DMS-8500997

Abstract

Representation and time reversal results of Linquist and Picci on Gaussian semimartingales with stationary increments are shown to hold without the Gaussian and stationarity assumptions, the key property being that the martingale term is a Wiener process. The methods of proof also yield a Girsanov-type formula for a process of the form , where h is not necessarily adapted

Keywords:

• Semimartingale
• Girsanov's formula
• Wiener measure
• Gaussian processes
• absolutely continuous change of measure

^†Part of this work was supported by NSF Grant No. DMS-8500997

^†Part of this work was supported by NSF Grant No. DMS-8500997

Notes

^†Part of this work was supported by NSF Grant No. DMS-8500997