Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps

doi:10.1016/j.spl.2016.09.001

科研成果详情

发表状态	已发表Published
题名	Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
作者	Qiao, Huijie 1; Wu, Jianglun2
发表日期	2016-12-01
发表期刊	Statistics and Probability Letters
ISSN/eISSN	0167-7152
卷号	119 页码:326-333
摘要	In the paper, by virtue of the Girsanov transformation, we derive a link of a class of (time-inhomogeneous) non-Lipschitz stochastic differential equations (SDEs) with jumps to a class of semi-linear partial integro-differential equations (PIDEs) of parabolic type, in such a manner that these obtained PIDEs characterize the path-independence property of the density process of Girsanov transformation for the non-Lipschitz SDEs with jumps.
关键词	Non-Lipschitz stochastic differential equations with jumps Semi-linear partial integro-differential equation of parabolic type The Girsanov transformation
DOI	10.1016/j.spl.2016.09.001
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:000386420800043
Scopus入藏号	2-s2.0-84988517271
引用统计	被引频次：8[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/10510
专题	个人在本单位外知识产出
通讯作者	Qiao, Huijie
作者单位	1.Department of Mathematics,Southeast University,Jiangsu,Nanjing,211189,China 2.Department of Mathematics,Swansea University,Swansea,Singleton Park,SA28PP,United Kingdom
推荐引用方式 GB/T 7714	Qiao, Huijie,Wu, Jianglun. Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps[J]. Statistics and Probability Letters, 2016, 119: 326-333.
APA	Qiao, Huijie, & Wu, Jianglun. (2016). Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps. Statistics and Probability Letters, 119, 326-333.
MLA	Qiao, Huijie,et al."Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps". Statistics and Probability Letters 119(2016): 326-333.