Journal article 852 views
On path independence of Girsanov transformation for stochastic differential equations
SCIENTIA SINICA Mathematica, Volume: 51, Issue: 11, Pages: 1861 - 16
Swansea University Authors: Feng-yu Wang, Jiang-lun Wu
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DOI (Published version): 10.1360/ssm-2020-0287
Abstract
In this paper, we give a survey of results obtained over the past ten years on the path-independence of the Girsanov transformation for stochastic differential equations, which was originated in 1990s from an important market efficiency property in mathematical finance studies. We end up the paper w...
| Published in: | SCIENTIA SINICA Mathematica |
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| ISSN: | 1674-7216 2095-9427 |
| Published: |
Beijing
Science China Press., Co. Ltd.
2021
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa56016 |
| Abstract: |
In this paper, we give a survey of results obtained over the past ten years on the path-independence of the Girsanov transformation for stochastic differential equations, which was originated in 1990s from an important market efficiency property in mathematical finance studies. We end up the paper with a new result characterizing the solution of SDEs using nonlinear PDEs, which is stimulated by a question of Professor Jiaan Yan to the second named author. |
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| Item Description: |
In Chinese |
| Keywords: |
Stochastic differential equations; Girsanov transformation; path-independence; nonlinear parabolic equations. |
| College: |
Faculty of Science and Engineering |
| Issue: |
11 |
| Start Page: |
1861 |
| End Page: |
16 |