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An extension of the Cameron–Martin result

  • A. I. Yashin (a1)


The well-known Cameron–Martin formula allows us to calculate the mathematical expectation where Ws is a Wiener process. This paper extends this result to the case of piecewise continuous martingales. As a particular case the mathematical expectations of a functional of generalized Ornstein– Uhlenbeck processes and pure jump processes are calculated.


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Postal address: Odense Universitet, ISH, Vinsløws Vej 17, 1, DK-5000 Odense C, Denmark. Currently visiting Duke University.


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