reviously
(see the formula (
General change
of Brownian motion
)) we calculated generic change of measure for Brownian
motion
.
If
is given by the
SDE
in the original measure then the change
results in
where the
is a standard Brownian motion with respect to the new probability
.
According to the formula (
Change of
numeraire kernel
), when the change of numeraire is performed, the process
is given by the
expression
Thus,
for Brownian motion
in
measure.
Therefore,
or


(Change of Brownian motion)

