Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
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DOI: 10.1016/j.spl.2016.09.001
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References listed on IDEAS
- 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.
- 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:
- Zhang, Shuaiqi, 2021. "On path-independent Girsanov transform," Applied Mathematics and Computation, Elsevier, vol. 395(C).
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Keywords
Non-Lipschitz stochastic differential equations with jumps; The Girsanov transformation; Semi-linear partial integro-differential equation of parabolic type;All these keywords.
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