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

Huijie Qiao and Jiang-Lun Wu

Statistics & Probability Letters, 2016, vol. 119, issue C, 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.

Keywords: Non-Lipschitz stochastic differential equations with jumps; The Girsanov transformation; Semi-linear partial integro-differential equation of parabolic type (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2016.09.001

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