Girsanov's theorem

Girsanov's Theorem is like taking a shortcut when you are walking somewhere. Instead of walking the long way around the block, you can take a shortcut and get to your destination faster. Girsanov's Theorem does the same thing with something called probability. It helps us figure out the probability (or chance) something will happen without having to do all of the work of calculating it. With Girsanov's Theorem, you can find out what the chance of something happening is much faster!