کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7548839 1489846 2018 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
چکیده انگلیسی
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).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 133, February 2018, Pages 71-79
نویسندگان
, ,