Journal article 988 views 191 downloads
Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations
Frontiers of Mathematics in China, Volume: 9, Issue: 3, Pages: 601 - 622
Swansea University Author:
Jiang-lun Wu
-
PDF | Accepted Manuscript
Download (230.54KB)
DOI (Published version): 10.1007/s11464-014-0364-8
Abstract
Based on a recent result on linking stochastic differential equations on ℝ d to (finite-dimensional) Burger-KPZ type nonlinear parabolic partial differential equations, we utilize Galerkin type finite-dimensional approximations to characterize the path-independence of the density process of Girsanov...
Published in: | Frontiers of Mathematics in China |
---|---|
Published: |
2014
|
Online Access: |
http://link.springer.com/article/10.1007%2Fs11464-014-0364-8 |
URI: | https://cronfa.swan.ac.uk/Record/cronfa22315 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
first_indexed |
2015-07-09T02:07:16Z |
---|---|
last_indexed |
2018-02-09T05:00:37Z |
id |
cronfa22315 |
recordtype |
SURis |
fullrecord |
<?xml version="1.0"?><rfc1807><datestamp>2017-02-22T11:20:05.7311553</datestamp><bib-version>v2</bib-version><id>22315</id><entry>2015-07-08</entry><title>Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations</title><swanseaauthors><author><sid>dbd67e30d59b0f32592b15b5705af885</sid><ORCID>0000-0003-4568-7013</ORCID><firstname>Jiang-lun</firstname><surname>Wu</surname><name>Jiang-lun Wu</name><active>true</active><ethesisStudent>false</ethesisStudent></author></swanseaauthors><date>2015-07-08</date><deptcode>SMA</deptcode><abstract>Based on a recent result on linking stochastic differential equations on ℝ d to (finite-dimensional) Burger-KPZ type nonlinear parabolic partial differential equations, we utilize Galerkin type finite-dimensional approximations to characterize the path-independence of the density process of Girsanov transformation for the infinite-dimensional stochastic evolution equations. Our result provides a link of infinite-dimensional semi-linear stochastic differential equations to infinite-dimensional Burgers-KPZ type nonlinear parabolic partial differential equations. As an application, this characterization result is applied to stochastic heat equation in one space dimension over the unit interval.</abstract><type>Journal Article</type><journal>Frontiers of Mathematics in China</journal><volume>9</volume><journalNumber>3</journalNumber><paginationStart>601</paginationStart><paginationEnd>622</paginationEnd><publisher/><keywords>Characterization theorem, Burgers-KPZ type nonlinear equations in infinite dimensions, infinite-dimensional semi-linear stochastic differential equations, Galerkin approximation, path-independence</keywords><publishedDay>31</publishedDay><publishedMonth>12</publishedMonth><publishedYear>2014</publishedYear><publishedDate>2014-12-31</publishedDate><doi>10.1007/s11464-014-0364-8</doi><url>http://link.springer.com/article/10.1007%2Fs11464-014-0364-8</url><notes></notes><college>COLLEGE NANME</college><department>Mathematics</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>SMA</DepartmentCode><institution>Swansea University</institution><apcterm/><lastEdited>2017-02-22T11:20:05.7311553</lastEdited><Created>2015-07-08T09:22:59.4551185</Created><path><level id="1">Faculty of Science and Engineering</level><level id="2">School of Mathematics and Computer Science - Mathematics</level></path><authors><author><firstname>Miao</firstname><surname>Wang</surname><order>1</order></author><author><firstname>Jiang-lun</firstname><surname>Wu</surname><orcid>0000-0003-4568-7013</orcid><order>2</order></author></authors><documents><document><filename>0022315-22022017111950.pdf</filename><originalFilename>MiaoWangJianglunWu1.pdf</originalFilename><uploaded>2017-02-22T11:19:50.6770000</uploaded><type>Output</type><contentLength>238283</contentLength><contentType>application/pdf</contentType><version>Accepted Manuscript</version><cronfaStatus>true</cronfaStatus><embargoDate>2017-02-22T00:00:00.0000000</embargoDate><copyrightCorrect>false</copyrightCorrect><language>eng</language></document></documents><OutputDurs/></rfc1807> |
spelling |
2017-02-22T11:20:05.7311553 v2 22315 2015-07-08 Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2015-07-08 SMA Based on a recent result on linking stochastic differential equations on ℝ d to (finite-dimensional) Burger-KPZ type nonlinear parabolic partial differential equations, we utilize Galerkin type finite-dimensional approximations to characterize the path-independence of the density process of Girsanov transformation for the infinite-dimensional stochastic evolution equations. Our result provides a link of infinite-dimensional semi-linear stochastic differential equations to infinite-dimensional Burgers-KPZ type nonlinear parabolic partial differential equations. As an application, this characterization result is applied to stochastic heat equation in one space dimension over the unit interval. Journal Article Frontiers of Mathematics in China 9 3 601 622 Characterization theorem, Burgers-KPZ type nonlinear equations in infinite dimensions, infinite-dimensional semi-linear stochastic differential equations, Galerkin approximation, path-independence 31 12 2014 2014-12-31 10.1007/s11464-014-0364-8 http://link.springer.com/article/10.1007%2Fs11464-014-0364-8 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2017-02-22T11:20:05.7311553 2015-07-08T09:22:59.4551185 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Miao Wang 1 Jiang-lun Wu 0000-0003-4568-7013 2 0022315-22022017111950.pdf MiaoWangJianglunWu1.pdf 2017-02-22T11:19:50.6770000 Output 238283 application/pdf Accepted Manuscript true 2017-02-22T00:00:00.0000000 false eng |
title |
Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations |
spellingShingle |
Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations Jiang-lun Wu |
title_short |
Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations |
title_full |
Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations |
title_fullStr |
Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations |
title_full_unstemmed |
Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations |
title_sort |
Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations |
author_id_str_mv |
dbd67e30d59b0f32592b15b5705af885 |
author_id_fullname_str_mv |
dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu |
author |
Jiang-lun Wu |
author2 |
Miao Wang Jiang-lun Wu |
format |
Journal article |
container_title |
Frontiers of Mathematics in China |
container_volume |
9 |
container_issue |
3 |
container_start_page |
601 |
publishDate |
2014 |
institution |
Swansea University |
doi_str_mv |
10.1007/s11464-014-0364-8 |
college_str |
Faculty of Science and Engineering |
hierarchytype |
|
hierarchy_top_id |
facultyofscienceandengineering |
hierarchy_top_title |
Faculty of Science and Engineering |
hierarchy_parent_id |
facultyofscienceandengineering |
hierarchy_parent_title |
Faculty of Science and Engineering |
department_str |
School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics |
url |
http://link.springer.com/article/10.1007%2Fs11464-014-0364-8 |
document_store_str |
1 |
active_str |
0 |
description |
Based on a recent result on linking stochastic differential equations on ℝ d to (finite-dimensional) Burger-KPZ type nonlinear parabolic partial differential equations, we utilize Galerkin type finite-dimensional approximations to characterize the path-independence of the density process of Girsanov transformation for the infinite-dimensional stochastic evolution equations. Our result provides a link of infinite-dimensional semi-linear stochastic differential equations to infinite-dimensional Burgers-KPZ type nonlinear parabolic partial differential equations. As an application, this characterization result is applied to stochastic heat equation in one space dimension over the unit interval. |
published_date |
2014-12-31T03:26:33Z |
_version_ |
1763750962614239232 |
score |
11.021648 |