Girsanov theorem

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In probability theory, Girsanov's theorem or the Cameron-Martin-Girsanov theorem explains how stochastic processes change under changes in measure. The theorem plays a significant role in the general theory of stochastic processes, where it provides the key result that if Q is a measure being absolutely continuous with respect to P, then every P-semimartingale is also a Q-semimartingale. It is also of great importance in the theory of financial mathematics as it explains how to convert from the physical measure, which describes the probability that an underlying instrument (such as a share price or interest rate) will take a particular value or values, to the risk-neutral measure which is a very useful tool for evaluating the value of derivatives on the underlying instrument.

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