Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps

DOI10.1016/J.SPL.2016.09.001zbMATH Open1350.60051OpenAlexW2520942785MaRDI QIDQ334074FDOQ334074

Jiang-Lun Wu, Huijie Qiao

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

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zbMATH Keywords

stochastic differential equationsGirsanov transformationpartial integro-differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (35R09) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• A forward equation for barrier options under the Brunick & Shreve Markovian projection
• The obstacle problem for semilinear parabolic partial integro-differential equations

Cited In (10)

• Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
• Path independence of the additive functionals for stochastic differential equations driven by \(G\)-Lévy processes
• Space-distribution PDEs for path independent additive functionals of McKean–Vlasov SDEs
• Supports for degenerate stochastic differential equations with jumps and applications
• Path independence of additive functionals for stochastic differential equations under \(G\)-framework
• On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
• Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations
• Stochastic differential equations with singular coefficients on the straight line
• On path-independent Girsanov transform
• Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations

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