n this section we obtain the inverse
result to the statement
(
Transformation of
SDE under change of measure
). Suppose
is a standard Brownian motion adapted to a filtration
and the process
is given by
where
is some
-adapted
process. We wish to find a process
, such that the
is a standard Brownian motion with respect to the
defined according to the formula
(
Definition of change of
measure
).