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On path independence of Girsanov transformation for stochastic differential equations

Feng-yu Wang Orcid Logo, Jiang-lun Wu Orcid Logo

SCIENTIA SINICA Mathematica, Volume: 51, Issue: 11, Pages: 1861 - 16

Swansea University Authors: Feng-yu Wang Orcid Logo, Jiang-lun Wu Orcid Logo

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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...

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Published in: SCIENTIA SINICA Mathematica
ISSN: 1674-7216 2095-9427
Published: Beijing Science China Press., Co. Ltd. 2021
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URI: https://cronfa.swan.ac.uk/Record/cronfa56016
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first_indexed 2021-01-12T18:36:10Z
last_indexed 2023-01-11T14:34:56Z
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spelling 2022-10-07T11:33:56.8045747 v2 56016 2021-01-12 On path independence of Girsanov transformation for stochastic differential equations 6734caa6d9a388bd3bd8eb0a1131d0de 0000-0003-0950-1672 Feng-yu Wang Feng-yu Wang true false dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2021-01-12 SMA 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. Journal Article SCIENTIA SINICA Mathematica 51 11 1861 16 Science China Press., Co. Ltd. Beijing 1674-7216 2095-9427 Stochastic differential equations; Girsanov transformation; path-independence; nonlinear parabolic equations. 8 11 2021 2021-11-08 10.1360/ssm-2020-0287 In Chinese COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2022-10-07T11:33:56.8045747 2021-01-12T18:29:08.6586085 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Feng-yu Wang 0000-0003-0950-1672 1 Jiang-lun Wu 0000-0003-4568-7013 2
title On path independence of Girsanov transformation for stochastic differential equations
spellingShingle On path independence of Girsanov transformation for stochastic differential equations
Feng-yu Wang
Jiang-lun Wu
title_short On path independence of Girsanov transformation for stochastic differential equations
title_full On path independence of Girsanov transformation for stochastic differential equations
title_fullStr On path independence of Girsanov transformation for stochastic differential equations
title_full_unstemmed On path independence of Girsanov transformation for stochastic differential equations
title_sort On path independence of Girsanov transformation for stochastic differential equations
author_id_str_mv 6734caa6d9a388bd3bd8eb0a1131d0de
dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv 6734caa6d9a388bd3bd8eb0a1131d0de_***_Feng-yu Wang
dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Feng-yu Wang
Jiang-lun Wu
author2 Feng-yu Wang
Jiang-lun Wu
format Journal article
container_title SCIENTIA SINICA Mathematica
container_volume 51
container_issue 11
container_start_page 1861
publishDate 2021
institution Swansea University
issn 1674-7216
2095-9427
doi_str_mv 10.1360/ssm-2020-0287
publisher Science China Press., Co. Ltd.
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
document_store_str 0
active_str 0
description 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.
published_date 2021-11-08T04:10:38Z
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score 11.013148

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