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

doi:10.3934/dcdsb.2018215

科研成果详情

发表状态	已发表Published
题名	On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
作者	Qiao, Huijie 1; Wu, Jianglun2
发表日期	2019-04-01
发表期刊	Discrete and Continuous Dynamical Systems - Series B
ISSN/eISSN	1531-3492
卷号	24 期号:4 页码:1449-1467
摘要	Based on a recent result in [13], in this paper, we extend it to stochastic evolution equations with jumps in Hilbert spaces. This is done via Galerkin type finite-dimensional approximations of the infinite-dimensional stochastic evolution equations 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.
关键词	A Girsanov transformation Characterization theorems N Itô formula Path-independence
DOI	10.3934/dcdsb.2018215
URL	查看来源
收录类别	SCIE
语种	英语English
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000457090800002
Scopus入藏号	2-s2.0-85061814714
引用统计
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/10499
专题	个人在本单位外知识产出
通讯作者	Qiao, Huijie
作者单位	1.School of Mathematics,Southeast University Nanjing,211189,China 2.Department of Mathematics,Swansea University Singleton Park,Swansea,SA2 8PP,United Kingdom
推荐引用方式 GB/T 7714	Qiao, Huijie,Wu, Jianglun. On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces[J]. Discrete and Continuous Dynamical Systems - Series B, 2019, 24(4): 1449-1467.
APA	Qiao, Huijie, & Wu, Jianglun. (2019). On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces. Discrete and Continuous Dynamical Systems - Series B, 24(4), 1449-1467.
MLA	Qiao, Huijie,et al."On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces". Discrete and Continuous Dynamical Systems - Series B 24.4(2019): 1449-1467.