• Corpus ID: 253801748

A Girsanov-type formula for a class of anticipative transforms of Brownian motion associated with exponential functionals

@inproceedings{Hariya2022AGF,
  title={A Girsanov-type formula for a class of anticipative transforms of Brownian motion associated with exponential functionals},
  author={Yuu Hariya},
  year={2022}
}

• Yuu Hariya
• Published 23 November 2022
• Mathematics

In this paper, with the help of a result by Matsumoto–Yor (2000), we prove a Girsanov-type formula for a class of anticipative transforms of Brownian motion which possesses exponential functionals as anticipating factors. Our result unifies existing formulas in earlier works. As an application, we also consider the laws of Brownian motion perturbed by weights that are determined from exponential functionals, and prove their invariance under the anticipative transformations associated with perturbations.