Identifier
etd-11162006-111635
Degree
Doctor of Philosophy (PhD)
Department
Mathematics
Document Type
Dissertation
Abstract
In this dissertation, the well-known Girsanov Theorem will be proved under a set of moment conditions on exponential processes. Our conditions are motivated by the desire to avoid using the local martingale theory in the proof of the Girsanov Theorem. Namely, we will only use the martingale theory to prove the Girsanov Theorem. Many sufficient conditions for the validity of the Girsanov Theorem have been found since the publication of the result by Girsanov in 1960. We will compare our conditions with some of these conditions. As an application of the Girsanov Theorem, we will show the nonexistence of an arbitrage in a market and will also explain a simplified version of Black-Scholes model.
Date
2006
Document Availability at the Time of Submission
Release the entire work immediately for access worldwide.
Recommended Citation
Lee, See Keong, "On moment conditions for the Girsanov Theorem" (2006). LSU Doctoral Dissertations. 998.
https://repository.lsu.edu/gradschool_dissertations/998
Committee Chair
Hui-Hsiung Kuo
DOI
10.31390/gradschool_dissertations.998