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Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
Huijie Qiao,
Jiang-lun Wu
Statistics & Probability Letters, Volume: 119, Pages: 326 - 333
Swansea University Author: Jiang-lun Wu
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DOI (Published version): 10.1016/j.spl.2016.09.001
Abstract
In the paper, by virtue of the Girsanov transformation, we derive a link of a class of (timeinhomogeneous)non-Lipschitz stochastic differential equations (SDEs) with jumps to aclass of semi-linear partial integro-differential equations (PIDEs) of parabolic type, in sucha manner that these obtained P...
| Published in: | Statistics & Probability Letters |
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| ISSN: | 01677152 |
| Published: |
2016
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa30144 |
| Abstract: |
In the paper, by virtue of the Girsanov transformation, we derive a link of a class of (timeinhomogeneous)non-Lipschitz stochastic differential equations (SDEs) with jumps to aclass of semi-linear partial integro-differential equations (PIDEs) of parabolic type, in sucha manner that these obtained PIDEs characterize the path-independence property of thedensity process of Girsanov transformation for the non-Lipschitz SDEs with jumps. |
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| College: |
Faculty of Science and Engineering |
| Start Page: |
326 |
| End Page: |
333 |