Topic: The Girsanov Theorem

Worked Problems in Girsanov Drift Changes

When an Exponential Local Martingale Is a True Martingale

Time-Dependent Deterministic Drift Changes

Stopped Girsanov Transforms and Localized Densities

Reverse Changes of Measure and Likelihood Ratios

Removing Drift from a One-Dimensional Diffusion

Proof of Novikov’s Criterion by Localization

Proof of Girsanov’s Theorem by Martingale Characterization

Ornstein-Uhlenbeck Processes Under a Drift Change

Novikov’s Condition and Its Direct Tests