# A comparison theorem for stochastic differential equations under a Novikov-type condition

@article{Lanconelli2013ACT, title={A comparison theorem for stochastic differential equations under a Novikov-type condition}, author={Alberto Lanconelli}, journal={arXiv: Probability}, year={2013} }

We consider a system of stochastic differential equations driven by a standard n-dimensional Brownian motion where the drift coefficient satisfies a Novikov-type condition while the diffusion coefficient is the identity matrix. We define a vector Z of square integrable stochastic processes with the following property: if the filtration of the translated Brownian motion obtained from the Girsanov transform coincides with the one of the driving noise then Z coincides with the unique strong…

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