No Cover Image

Journal article 1005 views 220 downloads

On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces

Huijie Qiao, Jiang-lun Wu Orcid Logo

Discrete & Continuous Dynamical Systems - B, Volume: 24, Issue: 4, Pages: 1449 - 1467

Swansea University Author: Jiang-lun Wu Orcid Logo

Check full text

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...

Full description

Published in: Discrete & Continuous Dynamical Systems - B
ISSN: 1553-524X
Published: American Institute of Mathematical Sciences 2019
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa38878
Tags: Add Tag
No Tags, Be the first to tag this record!
first_indexed 2018-02-26T13:53:51Z
last_indexed 2019-01-31T19:48:58Z
id cronfa38878
recordtype SURis
fullrecord <?xml version="1.0"?><rfc1807><datestamp>2019-01-31T15:04:50.0273337</datestamp><bib-version>v2</bib-version><id>38878</id><entry>2018-02-26</entry><title>On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces</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>2018-02-26</date><deptcode>SMA</deptcode><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.</abstract><type>Journal Article</type><journal>Discrete &amp; Continuous Dynamical Systems - B</journal><volume>24</volume><journalNumber>4</journalNumber><paginationStart>1449</paginationStart><paginationEnd>1467</paginationEnd><publisher>American Institute of Mathematical Sciences</publisher><issnPrint>1553-524X</issnPrint><keywords>An It&#x2C6;o formula, a Girsanov transformation, path-independence, characterization theorems.</keywords><publishedDay>1</publishedDay><publishedMonth>4</publishedMonth><publishedYear>2019</publishedYear><publishedDate>2019-04-01</publishedDate><doi>10.3934/dcdsb.2018215</doi><url>http://aimsciences.org/article/doi/10.3934/dcdsb.2018215</url><notes/><college>COLLEGE NANME</college><department>Mathematics</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>SMA</DepartmentCode><institution>Swansea University</institution><apcterm/><lastEdited>2019-01-31T15:04:50.0273337</lastEdited><Created>2018-02-26T12:27:31.9512565</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>Huijie</firstname><surname>Qiao</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>0038878-26022018122830.pdf</filename><originalFilename>HuijieQiaoJiang-LunWuPaper2.pdf</originalFilename><uploaded>2018-02-26T12:28:30.6400000</uploaded><type>Output</type><contentLength>229077</contentLength><contentType>application/pdf</contentType><version>Accepted Manuscript</version><cronfaStatus>true</cronfaStatus><embargoDate>2018-02-26T00:00:00.0000000</embargoDate><copyrightCorrect>true</copyrightCorrect><language>eng</language></document><document><filename>0038878-05032018114622.pdf</filename><originalFilename>Qiao-Wu.pdf</originalFilename><uploaded>2018-03-05T11:46:22.3170000</uploaded><type>Output</type><contentLength>339263</contentLength><contentType>application/pdf</contentType><version>Accepted Manuscript</version><cronfaStatus>true</cronfaStatus><embargoDate>2019-05-18T00:00:00.0000000</embargoDate><copyrightCorrect>true</copyrightCorrect><language>eng</language></document></documents><OutputDurs/></rfc1807>
spelling 2019-01-31T15:04:50.0273337 v2 38878 2018-02-26 On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2018-02-26 SMA 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. Journal Article Discrete & Continuous Dynamical Systems - B 24 4 1449 1467 American Institute of Mathematical Sciences 1553-524X An Itˆo formula, a Girsanov transformation, path-independence, characterization theorems. 1 4 2019 2019-04-01 10.3934/dcdsb.2018215 http://aimsciences.org/article/doi/10.3934/dcdsb.2018215 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2019-01-31T15:04:50.0273337 2018-02-26T12:27:31.9512565 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Huijie Qiao 1 Jiang-lun Wu 0000-0003-4568-7013 2 0038878-26022018122830.pdf HuijieQiaoJiang-LunWuPaper2.pdf 2018-02-26T12:28:30.6400000 Output 229077 application/pdf Accepted Manuscript true 2018-02-26T00:00:00.0000000 true eng 0038878-05032018114622.pdf Qiao-Wu.pdf 2018-03-05T11:46:22.3170000 Output 339263 application/pdf Accepted Manuscript true 2019-05-18T00:00:00.0000000 true eng
title On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
spellingShingle On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
Jiang-lun Wu
title_short On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
title_full On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
title_fullStr On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
title_full_unstemmed On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
title_sort On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
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 Discrete & Continuous Dynamical Systems - B
container_volume 24
container_issue 4
container_start_page 1449
publishDate 2019
institution Swansea University
issn 1553-524X
doi_str_mv 10.3934/dcdsb.2018215
publisher American Institute of Mathematical Sciences
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://aimsciences.org/article/doi/10.3934/dcdsb.2018215
document_store_str 1
active_str 0
description 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.
published_date 2019-04-01T03:49:19Z
_version_ 1763752394410164224
score 11.035634

Similar Items