Girsanov Theorem

一些比较重要的定理公式

1)  If P and Q are equivalent measures, and X_t is an F_t-adapted process then the following
results hold:    E^Q (X_t)   = E^P (X_t dQ/dP)

2) Define dQ/dP = exp( - ∫Θdw-1/2∫Θ²du),  denote W^P is a BM under measure P, then W_t^Q = W_t^P +∫₀^tΘ du is a BM under measure Q