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Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
Statistics & Probability Letters, Volume: 133, Pages: 71 - 79
Swansea University Author:
Jiang-lun Wu
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DOI (Published version): 10.1016/j.spl.2017.10.005
Abstract
In this paper, we derive a characterisation theorem for the path-independent property of the density of the Girsanov transformation for degenerated stochastic differ- ential equations (SDEs), extending the characterisation theorem of [13] for the non- degenerated SDEs. We further extends our conside...
Published in: | Statistics & Probability Letters |
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ISSN: | 01677152 |
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Elsevier
2018
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URI: | https://cronfa.swan.ac.uk/Record/cronfa36008 |
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2018-05-09T16:39:53.2113742 v2 36008 2017-10-11 Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2017-10-11 SMA In this paper, we derive a characterisation theorem for the path-independent property of the density of the Girsanov transformation for degenerated stochastic differ- ential equations (SDEs), extending the characterisation theorem of [13] for the non- degenerated SDEs. We further extends our consideration to non-Lipschitz SDEs with jumps and with degenerated diffusion coefficients, which generalises the corresponding characterisation theorem established in [10]. Journal Article Statistics & Probability Letters 133 71 79 Elsevier 01677152 degenerated stochastic differential equations (SDEs), Girsanov transformation, non- Lipschnitz SDEs with jumps, semi-linear partial integro-differential equation of parabolic type. 1 2 2018 2018-02-01 10.1016/j.spl.2017.10.005 https://www.sciencedirect.com/science/article/pii/S016771521730319X COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2018-05-09T16:39:53.2113742 2017-10-11T11:08:17.0108925 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Bo Wu 1 Jiang-lun Wu 0000-0003-4568-7013 2 0036008-11102017120143.pdf Degeneratediffusion(2017-3-15).pdf 2017-10-11T12:01:43.6870000 Output 262757 application/pdf Author's Original true 2017-10-11T00:00:00.0000000 true eng 0036008-23102017095830.pdf SPL2017BWuJLWu.pdf 2017-10-23T09:58:30.2070000 Output 452416 application/pdf Accepted Manuscript true 2018-10-20T00:00:00.0000000 true eng |
title |
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations |
spellingShingle |
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations Jiang-lun Wu |
title_short |
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations |
title_full |
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations |
title_fullStr |
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations |
title_full_unstemmed |
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations |
title_sort |
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations |
author_id_str_mv |
dbd67e30d59b0f32592b15b5705af885 |
author_id_fullname_str_mv |
dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu |
author |
Jiang-lun Wu |
author2 |
Bo Wu Jiang-lun Wu |
format |
Journal article |
container_title |
Statistics & Probability Letters |
container_volume |
133 |
container_start_page |
71 |
publishDate |
2018 |
institution |
Swansea University |
issn |
01677152 |
doi_str_mv |
10.1016/j.spl.2017.10.005 |
publisher |
Elsevier |
college_str |
Faculty of Science and Engineering |
hierarchytype |
|
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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 |
url |
https://www.sciencedirect.com/science/article/pii/S016771521730319X |
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active_str |
0 |
description |
In this paper, we derive a characterisation theorem for the path-independent property of the density of the Girsanov transformation for degenerated stochastic differ- ential equations (SDEs), extending the characterisation theorem of [13] for the non- degenerated SDEs. We further extends our consideration to non-Lipschitz SDEs with jumps and with degenerated diffusion coefficients, which generalises the corresponding characterisation theorem established in [10]. |
published_date |
2018-02-01T03:44:58Z |
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1763752120712953856 |
score |
11.021648 |