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

DOI10.1016/J.SPL.2016.09.001MaRDI QIDQ334074zbMATH OpenOpenAlexFDO

Authors Huijie Qiao, Jiang-Lun Wu

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 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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Cites work

• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
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• A forward equation for barrier options under the Brunick \& Shreve Markovian projection
• A link of stochastic differential equations to nonlinear parabolic equations
• Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients
• No Arbitrage and General Semimartingales
• Nonlinear filtering of stochastic dynamical systems with Lévy noises
• The obstacle problem for semilinear parabolic partial integro-differential equations
• Theory of stochastic differential equations with jumps and applications.

Cited in

(11)

• Path independence of the additive functionals for stochastic differential equations driven by \(G\)-Lévy processes
• 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
• Path independence of the additive functionals for Mckean-Vlasov stochastic differential equations with jumps
• Space-distribution PDEs for path independent additive functionals of McKean-Vlasov SDEs
• Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
• A link of stochastic differential equations to nonlinear parabolic equations

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