Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations (Q2259125): Difference between revisions

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English	Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations	scientific article

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scholarly article

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title

Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations (English)

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Frontiers of Mathematics in China

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publication date

27 February 2015

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full work available at URL

https://cronfa.swan.ac.uk/Record/cronfa22315/Download/0022315-22022017111950.pdf

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zbMATH Keywords

infinite-dimensional stochastic evolution equations

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Girsanov transformation

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Burgers-KPZ type equations

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path-independence

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Galerkin approximation

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stochastic heat equation

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Fréchet differentiation

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MaRDI profile type

MaRDI publication profile

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cites work

Stratified structure of the Universe and Burgers' equation -- a probabilistic approach

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The Pricing of Options and Corporate Liabilities

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Q4057385

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On dynamic investment strategies

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User’s guide to viscosity solutions of second order partial differential equations

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Stochastic Equations in Infinite Dimensions

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Ergodicity for Infinite Dimensional Systems

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Q5313837

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Q4748938

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Controlled Markov processes and viscosity solutions

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Functional Integration and Partial Differential Equations. (AM-109)

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Invariance of Malliavin fields on Itô's Wiener space and on abstract Wiener space

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Q4865903

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Q3992729

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Dynamic Scaling of Growing Interfaces

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Compressible fluid flow and systems of conservation laws in several space variables

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Remarkable statistical behavior for truncated Burgers–Hopf dynamics

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Stochastic calculus of variations in mathematical finance.

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A concise course on stochastic partial differential equations

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Q4314474

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Q4002759

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Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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Q3862204

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Classical mechanics, the diffusion (heat) equation, and the Schrödinger equation

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A link of stochastic differential equations to nonlinear parabolic equations

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Q4226056

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On stochastic diffusion equations and stochastic Burgers’ equations

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Stochastic Burgers' equations and their semi-classical expansions

0 references

Harnack Inequalities for Stochastic Partial Differential Equations

0 references

Q4255599

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Identifiers

zbMATH Open document ID

1312.60084

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DOI

10.1007/s11464-014-0364-8

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2259125

@@ Property / cites work @@
+Stratified structure of the Universe and Burgers' equation -- a probabilistic approach
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4057385
@@ Property / cites work: Q4057385 / rank @@
+Normal rank
@@ Property / cites work @@
+On dynamic investment strategies
@@ Property / cites work: On dynamic investment strategies / rank @@
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodicity for Infinite Dimensional Systems
@@ Property / cites work: Ergodicity for Infinite Dimensional Systems / rank @@
+Normal rank
@@ Property / cites work @@
+Q5313837
@@ Property / cites work: Q5313837 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4748938
@@ Property / cites work: Q4748938 / rank @@
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Functional Integration and Partial Differential Equations. (AM-109)
+Normal rank
@@ Property / cites work @@
+Invariance of Malliavin fields on Itô's Wiener space and on abstract Wiener space
+Normal rank
@@ Property / cites work @@
+Q4865903
@@ Property / cites work: Q4865903 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Scaling of Growing Interfaces
@@ Property / cites work: Dynamic Scaling of Growing Interfaces / rank @@
+Normal rank
@@ Property / cites work @@
+Compressible fluid flow and systems of conservation laws in several space variables
+Normal rank
@@ Property / cites work @@
+Remarkable statistical behavior for truncated Burgers–Hopf dynamics
+Normal rank
@@ Property / cites work @@
+Stochastic calculus of variations in mathematical finance.
+Normal rank
@@ Property / cites work @@
+A concise course on stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Q4314474
@@ Property / cites work: Q4314474 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002759
@@ Property / cites work: Q4002759 / rank @@
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+Q3862204
@@ Property / cites work: Q3862204 / rank @@
+Normal rank
@@ Property / cites work @@
+Classical mechanics, the diffusion (heat) equation, and the Schrödinger equation
+Normal rank
@@ Property / cites work @@
+A link of stochastic differential equations to nonlinear parabolic equations
+Normal rank
@@ Property / cites work @@
+Q4226056
@@ Property / cites work: Q4226056 / rank @@
+Normal rank
@@ Property / cites work @@
+On stochastic diffusion equations and stochastic Burgers’ equations
+Normal rank
@@ Property / cites work @@
+Stochastic Burgers' equations and their semi-classical expansions
+Normal rank
@@ Property / cites work @@
+Harnack Inequalities for Stochastic Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank