Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations

Bo Wu and Jiang-Lun Wu

Statistics & Probability Letters, 2018, vol. 133, issue C, 71-79

Abstract: In this paper, we derive a characterisation theorem for the path-independent property of the density of the Girsanov transformation for degenerated stochastic differential equations (SDEs), extending the characterisation theorem of Truman et al. (2012) for the non-degenerated SDEs. We further extend our consideration to non-Lipschitz SDEs with jumps and with degenerated diffusion coefficients, which generalises the corresponding characterisation theorem established in Qiao and Wu (submitted for publication).

Keywords: Degenerated stochastic differential equations (SDEs); Girsanov transformation; Non-Lipschitz SDEs with jumps; Semi-linear partial integro-differential equation of parabolic type (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2017.10.005

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