Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations

doi:10.1016/j.spl.2017.10.005

科研成果详情

发表状态	已发表Published
题名	Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
作者	Wu, Bo 1; Wu, Jianglun2
发表日期	2018-02-01
发表期刊	Statistics and Probability Letters
ISSN/eISSN	0167-7152
卷号	133 页码:71-79
摘要	In this paper, we derive a characterisation theorem for the path-independent property of the density of the Girsanov transformation for degenerated stochastic differential equations (SDEs), extending the characterisation theorem of Truman et al. (2012) for the non-degenerated SDEs. We further extend our consideration to non-Lipschitz SDEs with jumps and with degenerated diffusion coefficients, which generalises the corresponding characterisation theorem established in Qiao and Wu (submitted for publication).
关键词	Degenerated stochastic differential equations (SDEs) Girsanov transformation Non-Lipschitz SDEs with jumps Semi-linear partial integro-differential equation of parabolic type
DOI	10.1016/j.spl.2017.10.005
URL	查看来源
收录类别	SCIE
语种	英语English
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000419424600011
Scopus入藏号	2-s2.0-85034083179
引用统计	被引频次：5[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/10507
专题	个人在本单位外知识产出
通讯作者	Wu, Bo
作者单位	1.School of Mathematical Sciences,Fudan University,Shanghai,200433,China 2.Department of Mathematics,College of Science,Swansea University,Swansea,Singleton Park,SA2 8PP,United Kingdom
推荐引用方式 GB/T 7714	Wu, Bo,Wu, Jianglun. Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations[J]. Statistics and Probability Letters, 2018, 133: 71-79.
APA	Wu, Bo, & Wu, Jianglun. (2018). Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations. Statistics and Probability Letters, 133, 71-79.
MLA	Wu, Bo,et al."Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations". Statistics and Probability Letters 133(2018): 71-79.