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

Huijie Qiao, Jiang-lun Wu Orcid Logo

Statistics & Probability Letters, Volume: 119, Pages: 326 - 333

Swansea University Author: Jiang-lun Wu Orcid Logo

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DOI (Published version): 10.1016/j.spl.2016.09.001

Abstract

In the paper, by virtue of the Girsanov transformation, we derive a link of a class of (timeinhomogeneous)non-Lipschitz stochastic differential equations (SDEs) with jumps to aclass of semi-linear partial integro-differential equations (PIDEs) of parabolic type, in sucha manner that these obtained P...

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Published in: Statistics & Probability Letters
ISSN: 01677152
Published: 2016
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URI: https://cronfa.swan.ac.uk/Record/cronfa30144
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first_indexed 2016-09-21T19:01:53Z
last_indexed 2018-02-09T05:15:53Z
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spelling 2017-08-02T11:18:46.5923232 v2 30144 2016-09-21 Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2016-09-21 SMA In the paper, by virtue of the Girsanov transformation, we derive a link of a class of (timeinhomogeneous)non-Lipschitz stochastic differential equations (SDEs) with jumps to aclass of semi-linear partial integro-differential equations (PIDEs) of parabolic type, in sucha manner that these obtained PIDEs characterize the path-independence property of thedensity process of Girsanov transformation for the non-Lipschitz SDEs with jumps. Journal Article Statistics & Probability Letters 119 326 333 01677152 1 12 2016 2016-12-01 10.1016/j.spl.2016.09.001 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2017-08-02T11:18:46.5923232 2016-09-21T14:41:30.6100222 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Huijie Qiao 1 Jiang-lun Wu 0000-0003-4568-7013 2 0030144-22022017110634.pdf QiaoWuStatProbLetters.pdf 2017-02-22T11:06:34.7200000 Output 626270 application/pdf Accepted Manuscript true 2017-09-12T00:00:00.0000000 true eng
title Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
spellingShingle Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
Jiang-lun Wu
title_short Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
title_full Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
title_fullStr Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
title_full_unstemmed Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
title_sort Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
author_id_str_mv dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiang-lun Wu
author2 Huijie Qiao
Jiang-lun Wu
format Journal article
container_title Statistics & Probability Letters
container_volume 119
container_start_page 326
publishDate 2016
institution Swansea University
issn 01677152
doi_str_mv 10.1016/j.spl.2016.09.001
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
document_store_str 1
active_str 0
description In the paper, by virtue of the Girsanov transformation, we derive a link of a class of (timeinhomogeneous)non-Lipschitz stochastic differential equations (SDEs) with jumps to aclass of semi-linear partial integro-differential equations (PIDEs) of parabolic type, in sucha manner that these obtained PIDEs characterize the path-independence property of thedensity process of Girsanov transformation for the non-Lipschitz SDEs with jumps.
published_date 2016-12-01T03:36:48Z
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score 11.035634

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