On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
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Publication:2633632
Abstract: Based on a recent result on characterising the path-independence of the Girsanov transformation for non-Lipschnitz stochastic differential equations (SDEs) with jumps on , in this paper, we extend our consideration of characterising the path-indpendent property from finite-dimensional SDEs with jumps to stochastic evolution equations with jumps in Hilbert spaces. This is done via Galerkin type finite-dimensional approximations of the infinite-dimensional stochastic evolution equations with jumps in the manner that one could then link the characterisation of the path-independence for finite-dimensional jump type SDEs to that for the infinite-dimensional settings. Our result provides an intrinsic link of infinite-dimensional stochastic evolution equations with jumps to infinite-dimensional partial integro-differential equations.
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Cited in
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- Effective filtering for multiscale stochastic dynamical systems in Hilbert spaces
- On path-independent Girsanov transform
- Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
- Path independence of the additive functionals for Mckean-Vlasov stochastic differential equations with jumps
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- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
- Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
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