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

DOI10.1016/j.spl.2017.10.005zbMath1379.35351arXiv1612.03691OpenAlexW2566246927MaRDI QIDQ680480

Bo Wu, Jiang-Lun Wu

Publication date: 23 January 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.03691

zbMATH Keywords

Girsanov transformationdegenerated stochastic differential equations (SDEs)non-Lipschitz SDEs with jumpssemi-linear partial integro-differential equation of parabolic type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) KdV equations (Korteweg-de Vries equations) (35Q53) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (5)

Stochastic differential equations with singular coefficients on the straight line ⋮ On path-independent Girsanov transform ⋮ Path independence of additive functionals for stochastic differential equations under \(G\)-framework ⋮ Space-distribution PDEs for path independent additive functionals of McKean–Vlasov SDEs ⋮ Supports for degenerate stochastic differential equations with jumps and applications

Cites Work

• Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients
• Theory of stochastic differential equations with jumps and applications.
• A link of stochastic differential equations to nonlinear parabolic equations
• Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps
• Analysis for Diffusion Processes on Riemannian Manifolds
• Nonlinear filtering of stochastic dynamical systems with Lévy noises
• No Arbitrage and General Semimartingales
• The obstacle problem for semilinear parabolic partial integro-differential equations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations