Mon, 25 Oct 2004
15:45
DH 3rd floor SR

Conditional Cameron-Martin's formula for diffusions

Professor Zhongmin Qian
(Oxford)
Abstract

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.

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