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Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
Bo Wu,
Jiang-lun Wu
Statistics & Probability Letters, Volume: 133, Pages: 71 - 79
Swansea University Author: Jiang-lun Wu
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DOI (Published version): 10.1016/j.spl.2017.10.005
Abstract
In this paper, we derive a characterisation theorem for the path-independent property of the density of the Girsanov transformation for degenerated stochastic differ- ential equations (SDEs), extending the characterisation theorem of [13] for the non- degenerated SDEs. We further extends our conside...
| Published in: | Statistics & Probability Letters |
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| ISSN: | 01677152 |
| Published: |
Elsevier
2018
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa36008 |
| Abstract: |
In this paper, we derive a characterisation theorem for the path-independent property of the density of the Girsanov transformation for degenerated stochastic differ- ential equations (SDEs), extending the characterisation theorem of [13] for the non- degenerated SDEs. We further extends our consideration to non-Lipschitz SDEs with jumps and with degenerated diffusion coefficients, which generalises the corresponding characterisation theorem established in [10]. |
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| Keywords: |
degenerated stochastic differential equations (SDEs), Girsanov transformation, non- Lipschnitz SDEs with jumps, semi-linear partial integro-differential equation of parabolic type. |
| College: |
Faculty of Science and Engineering |
| Start Page: |
71 |
| End Page: |
79 |