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Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
Statistics & Probability Letters, Volume: 119, Pages: 326 - 333
Swansea University Author:
Jiang-lun Wu
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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...
Published in: | Statistics & Probability Letters |
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ISSN: | 01677152 |
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2016
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URI: | https://cronfa.swan.ac.uk/Record/cronfa30144 |
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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 |
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Faculty of Science and Engineering |
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facultyofscienceandengineering |
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Faculty of Science and Engineering |
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facultyofscienceandengineering |
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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 |
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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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1763751607130914816 |
score |
11.021648 |