Talk:Girsanov theorem

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[edit] Article is in need of attention

The statement of this difficult theorem is hard to follow and definitely wrong. For example, the article has the equation.

\frac{\delta Q}{\delta P} = SE(x \bullet W)

The left hand side is a Radon-Nikodym derivative. The notation on the right hand side is nonstandard but it is clear from what follows that it is denoting a geometric Brownian motion process. But the Radon-Nikodym derivative of one probability measure with respect to another is a random variable, not a process. Brian Tvedt 12:05, 25 January 2006 (UTC)

A stochastic process is just a random variable taking values in a bigger space (e.g the space of continuous functions over the non-negative reals)128.130.51.57 (talk) 10:26, 7 April 2008 (UTC)

Agreed. Lacks historical content as well. Also, there is very little mention on the Black-Scholes formula page regarding the importance of the Girsanov theorem, risk neutral measure, etc. Dmaher 00:48, 4 April 2006 (UTC)