| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7548976 | Statistics & Probability Letters | 2016 | 8 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Huijie Qiao, Jiang-Lun Wu,