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

被引：8

作者：

Qiao, Huijie ^{[1
]}

Wu, Jiang-Lun ^{[2
]}

机构：

[1] Southeast Univ, Dept Math, Nanjing 211189, Jiangsu, Peoples R China

[2] Swansea Univ, Dept Math, Singleton Pk, Swansea SA2 8PP, W Glam, Wales

来源：

STATISTICS & PROBABILITY LETTERS | 2016年 / 119卷

关键词：

Non-Lipschitz stochastic differential equations with jumps; The Girsanov transformation; Semi-linear partial integro-differential equation of parabolic type;

D O I：

10.1016/j.spl.2016.09.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：326 / 333

页数：8

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