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

doi:10.1016/j.spl.2016.09.001

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Status	已发表Published
Title	Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
Creator	Qiao, Huijie 1; Wu, Jianglun2
Date Issued	2016-12-01
Source Publication	Statistics and Probability Letters
ISSN	0167-7152
Volume	119 Pages:326-333
Abstract	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.
Keyword	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	View source
Indexed By	SCIE
Language	英语English
WOS Research Area	Mathematics
WOS Subject	Statistics & Probability
WOS ID	WOS:000386420800043
Scopus ID	2-s2.0-84988517271
Citation statistics	Cited Times:8[WOS] [WOS Record] [Related Records in WOS]
Document Type	Journal article
Identifier	http://repository.uic.edu.cn/handle/39GCC9TT/10510
Collection	Research outside affiliated institution
Corresponding Author	Qiao, Huijie
Affiliation	1.Department of Mathematics,Southeast University,Jiangsu,Nanjing,211189,China 2.Department of Mathematics,Swansea University,Swansea,Singleton Park,SA28PP,United Kingdom
Recommended Citation 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.

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