A Girsanov Type Theorem on the Path Space Over a Compact Riemannian Manifold

Abstract

This article establishes a Girsanov type theorem on path spaces over compact Riemannian manifolds, generalizing the classical Girsanov theorem for Euclidean spaces.

Keywords:

• Girsanov theorem
• Path space

Mathematics Subject Classification (2000):

• 60D05
• 60H10
• 93D20

J. Zhang's research is supported by the Science Research Fund of the R.U.C. (2005).