Girsanov Theorem - Significance

Significance

Girsanov's theorem is important in the general theory of stochastic processes since it enables the key result that if Q is a measure absolutely continuous with respect to P then every P-semimartingale is a Q-semimartingale.

Read more about this topic:  Girsanov Theorem

Famous quotes containing the word significance:

    “I am not afraid that I shall exaggerate the value and significance of life, but that I shall not be up to the occasion which it is.”
    —Henry David Thoreau (1817–1862)

    “History is the interpretation of the significance that the past has for us.”
    —Johan Huizinga (1872–1945)

    “To grasp the full significance of life is the actor’s duty, to interpret it is his problem, and to express it his dedication.”
    —Marlon Brando (b. 1924)