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Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations

Bo Wu, Jiang-lun Wu Orcid Logo

Statistics & Probability Letters, Volume: 133, Pages: 71 - 79

Swansea University Author: Jiang-lun Wu Orcid Logo

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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...

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Published in: Statistics & Probability Letters
ISSN: 01677152
Published: Elsevier 2018
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URI: https://cronfa.swan.ac.uk/Record/cronfa36008
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last_indexed 2018-05-09T19:26:13Z
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spelling 2018-05-09T16:39:53.2113742 v2 36008 2017-10-11 Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2017-10-11 SMA 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]. Journal Article Statistics & Probability Letters 133 71 79 Elsevier 01677152 degenerated stochastic differential equations (SDEs), Girsanov transformation, non- Lipschnitz SDEs with jumps, semi-linear partial integro-differential equation of parabolic type. 1 2 2018 2018-02-01 10.1016/j.spl.2017.10.005 https://www.sciencedirect.com/science/article/pii/S016771521730319X COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2018-05-09T16:39:53.2113742 2017-10-11T11:08:17.0108925 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Bo Wu 1 Jiang-lun Wu 0000-0003-4568-7013 2 0036008-11102017120143.pdf Degeneratediffusion(2017-3-15).pdf 2017-10-11T12:01:43.6870000 Output 262757 application/pdf Author's Original true 2017-10-11T00:00:00.0000000 true eng 0036008-23102017095830.pdf SPL2017BWuJLWu.pdf 2017-10-23T09:58:30.2070000 Output 452416 application/pdf Accepted Manuscript true 2018-10-20T00:00:00.0000000 true eng
title Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
spellingShingle Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
Jiang-lun Wu
title_short Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
title_full Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
title_fullStr Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
title_full_unstemmed Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
title_sort Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
author_id_str_mv dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiang-lun Wu
author2 Bo Wu
Jiang-lun Wu
format Journal article
container_title Statistics & Probability Letters
container_volume 133
container_start_page 71
publishDate 2018
institution Swansea University
issn 01677152
doi_str_mv 10.1016/j.spl.2017.10.005
publisher Elsevier
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
url https://www.sciencedirect.com/science/article/pii/S016771521730319X
document_store_str 1
active_str 0
description 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].
published_date 2018-02-01T03:44:58Z
_version_ 1763752120712953856
score 11.013148

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