| 宋瑞丽,王波.Hunt过程在Girsanov变换下的转移概率密度的表示公式[J].数学年刊A辑,2015,36(1):103~110 |
| Hunt过程在Girsanov变换下的转移概率密度的表示公式 |
| A Representation Formula for Transition Probability Densities of Hunt ProcessesUnder Girsanov Transform |
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| DOI： |
| 中文关键词: 转移概率密度,
无穷小生成元, L\'{e}vy 系, Girsanov 定理 |
| 英文关键词:Transition probability density,
Infinitesimal generator, L\'{e}vy system, Girsanov theorem |
| 基金项目:国家自然科学基金(No.11201221)和江苏省自然科学基金(No.BK2012468) |
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| 中文摘要: |
| 当Hunt过程为半鞅时, 建立了在Girsanov变换下的转移概率密度的表示公式,
并给出了变换后过程的L\'{e}vy系和无穷小生成元. |
| 英文摘要: |
| The authors establish a representation formula for
transition probability density of Hunt processes
being a semimartingale under Girsanov transform, and
give the L\'{e}vy system and the infinitesimal generator
of the transformed process. |
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