Girsanov theorem
= Girsanov theorem
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Girsanov's theorem describes how a change of probability measure changes the drift of a semimartingale. If the appropriate <stochastic exponential> is a true martingale, weighting by it turns $W_t+\int_0^t\theta_sds$ into a Brownian motion under the new measure.
= Cameron-Martin-Girsanov theorem
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