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

Author

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  • Qiao, Huijie
  • Wu, Jiang-Lun

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.

Suggested Citation

  • Qiao, Huijie & Wu, Jiang-Lun, 2016. "Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 326-333.
    • Handle: RePEc:eee:stapro:v:119:y:2016:i:c:p:326-333
    DOI: 10.1016/j.spl.2016.09.001
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    References listed on IDEAS

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    1. Ben Hambly & Matthieu Mariapragassam & Christoph Reisinger, 2014. "A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection," Papers 1411.3618, arXiv.org, revised Sep 2016.
    2. Ben Hambly & Matthieu Mariapragassam & Christoph Reisinger, 2016. "A forward equation for barrier options under the Brunick & Shreve Markovian projection," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 827-838, June.
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    Cited by:

    1. Zhang, Shuaiqi, 2021. "On path-independent Girsanov transform," Applied Mathematics and Computation, Elsevier, vol. 395(C).

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