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On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
Discrete & Continuous Dynamical Systems - B, Volume: 24, Issue: 4, Pages: 1449 - 1467
Swansea University Author:
Jiang-lun Wu
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DOI (Published version): 10.3934/dcdsb.2018215
Abstract
Based on a recent result in [14], in this paper, we extend it to stochas- tic evolution equations with jumps in Hilbert spaces. This is done via Galerkin type finite-dimensional approximations of the infinite-dimensional stochastic evolution equa- tions with jumps in a manner that one could then lin...
| Published in: | Discrete & Continuous Dynamical Systems - B |
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| ISSN: | 1553-524X |
| Published: |
American Institute of Mathematical Sciences
2019
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa38878 |
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| Abstract: |
Based on a recent result in [14], in this paper, we extend it to stochas- tic evolution equations with jumps in Hilbert spaces. This is done via Galerkin type finite-dimensional approximations of the infinite-dimensional stochastic evolution equa- tions with jumps in a manner that one could then link the characterisation of the path- independence for finite-dimensional jump type SDEs to that for the infinite-dimensional settings. Our result provides an intrinsic link of infinite-dimensional stochastic evolution equations with jumps to infinite-dimensional (nonlinear) integro-differential equations. |
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| Keywords: |
An Itˆo formula, a Girsanov transformation, path-independence, characterization theorems. |
| College: |
Faculty of Science and Engineering |
| Issue: |
4 |
| Start Page: |
1449 |
| End Page: |
1467 |