Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
2016; Elsevier BV; Volume: 119; Linguagem: Inglês
10.1016/j.spl.2016.09.001
ISSN1879-2103
Autores Tópico(s)Complex Systems and Time Series Analysis
ResumoIn 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.
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