Seminar series
Date
Mon, 25 Oct 2004
15:45
15:45
Location
DH 3rd floor SR
Speaker
Professor Zhongmin Qian
Organisation
Oxford
I will present a new formula for diffusion processes which involving
Ito integral for the transition probability functions. The nature of
the formula I discovered is very close to the Kac formula, but its
form is similar to the Cameron-Martin formula. In some sense it is the
Cameron-Martin formula for pinned diffusions.