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

DOI10.1016/j.spl.2016.09.001zbMath1350.60051MaRDI QIDQ334074

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

zbMATH Keywords

stochastic differential equations; Girsanov transformation; partial integro-differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

35R09: Integro-partial differential equations