Change of probability measure

🏗 A placeholder for notes on a.e. continuous monotonic changes of measure in order to render a process “simple” in some sense. Something something Martingale something blah blah stochastic calculus.

For a more modern, pragmatic take see, e.g. reparamaterisation.


Applebaum, David. 2009. Lévy Processes and Stochastic Calculus. 2nd ed. Cambridge Studies in Advanced Mathematics 116. Cambridge ; New York: Cambridge University Press.
Barndorff-Nielsen, Ole E, and Albert Shiryaev. 2010. Change of Time and Change of Measure. Vol. 13. Advanced Series on Statistical Science & Applied Probability. WORLD SCIENTIFIC.
Borovkov, Konstantin, and Zaeem Burq. 2001. Kendall’s Identity for the First Crossing Time Revisited.” Electronic Communications in Probability 6: 91–94.
Burgess, Nicholas. 2014. Martingale Measures & Change of Measure Explained.” SSRN Scholarly Paper ID 2961006. Rochester, NY: Social Science Research Network.
Ranneby, Bo. 1984. The Maximum Spacing Method. An Estimation Method Related to the Maximum Likelihood Method.” Scandinavian Journal of Statistics 11 (2): 93–112.
Ranneby, Bo, S. Rao Jammalamadaka, and Alex Teterukovskiy. 2005. The Maximum Spacing Estimation for Multivariate Observations.” Journal of Statistical Planning and Inference, IISA 2002 DeKalb Conference, 129 (1–2): 427–46.
Surace, Simone Carlo, and Jean-Pascal Pfister. 2016. “Online Maximum Likelihood Estimation of the Parameters of Partially Observed Diffusion Processes.” In.
Wong, T. S. T., and W. K. Li. 2006. A Note on the Estimation of Extreme Value Distributions Using Maximum Product of Spacings.” In Institute of Mathematical Statistics Lecture Notes - Monograph Series, 272–83. Beachwood, Ohio, USA: Institute of Mathematical Statistics.

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