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

2016/12/12 by Bo Wu, Wu, Bo, Jiang-Lun Wu +1
Economics, Econometrics and Finance · Mathematics · #60H10 #FOS: Mathematics #Mathematical Biology Tumor Growth #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1612.03691

openalex publication_date 2016/12/12 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28

Abstract

In this paper, we derive a characterization theorem for the path-independent property of the density of the Girsanov transformation for \it degenerated stochastic differential equations (SDEs), extending the characterization theorem of \citetwwy for the non-degenerated SDEs. We further extends our consideration to non-Lipschitz SDEs with jumps and with degenerated diffusion coefficients, which generalizes the corresponding characterization theorem established in \citehqwu.

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