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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Girsanov theorem ： ウィキペディア英語版 Girsanov theorem In probability theory, the Girsanov theorem (named after Igor Vladimirovich Girsanov) describes how the dynamics of stochastic processes change when the original measure is changed to an equivalent probability measure. The theorem is especially important in the theory of financial mathematics as it tells how to convert from the physical measure which describes the probability that an underlying instrument (such as a share price or interest rate) will take a particular value or values to the risk-neutral measure which is a very useful tool for pricing derivatives on the underlying. ==History== Results of this type were first proved by Cameron–Martin in the 1940s and by Girsanov in 1960. They have been subsequently extended to more general classes of process culminating in the general form of Lenglart (1977). 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Girsanov theorem」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.