Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
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Publication:334074
DOI10.1016/j.spl.2016.09.001zbMath1350.60051OpenAlexW2520942785MaRDI QIDQ334074
Publication date: 31 October 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://cronfa.swan.ac.uk/Record/cronfa30144/Download/0030144-22022017110634.pdf
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Integro-partial differential equations (35R09)
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