On path-independent Girsanov transform

DOI10.1016/J.AMC.2020.125845MaRDI QIDQ2663804zbMATH OpenOpenAlexFDO

Authors Shuaiqi Zhang

Publication date 20 April 2021

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2020.125845

zbMATH Keywords

Girsanov transformationlocal martingalestochastic differential equation

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Continuous-time Markov processes on general state spaces (60J25)

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Cited in

(3)

• Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations
• On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
• Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps

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