The Girsanov's theorem is useful as well in the general theory of stochastic analysis as well in its applications. We show here that it can be also applied to the theory of stochastic differential inclusions. In particular, we obtain some special properties of sets of weak solutions to some type of these inclusions.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmdico_1043,
author = {Micha Kisielewicz},
title = {Some applications of Girsanov's theorem to the theory of stochastic differential inclusions},
journal = {Discussiones Mathematicae, Differential Inclusions, Control and Optimization},
volume = {23},
year = {2003},
pages = {21-29},
zbl = {1063.93046},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmdico_1043}
}
Micha Kisielewicz. Some applications of Girsanov's theorem to the theory of stochastic differential inclusions. Discussiones Mathematicae, Differential Inclusions, Control and Optimization, Tome 23 (2003) pp. 21-29. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmdico_1043/
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