IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v133y2018icp71-79.html
   My bibliography  Save this article

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

Author

Listed:
  • Wu, Bo
  • Wu, Jiang-Lun

Abstract

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).

Suggested Citation

  • Wu, Bo & Wu, Jiang-Lun, 2018. "Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 133(C), pages 71-79.
    • Handle: RePEc:eee:stapro:v:133:y:2018:i:c:p:71-79
    DOI: 10.1016/j.spl.2017.10.005
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S016771521730319X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2017.10.005?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Qiao, Huijie & Zhang, Xicheng, 2008. "Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2254-2268, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Qiao, Huijie & Wu, Jiang-Lun, 2021. "Supports for degenerate stochastic differential equations with jumps and applications," Statistics & Probability Letters, Elsevier, vol. 177(C).
    2. Zhang, Shuaiqi, 2021. "On path-independent Girsanov transform," Applied Mathematics and Computation, Elsevier, vol. 395(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers 1910.08946, arXiv.org, revised Apr 2022.
    2. Xu, Jie & Wen, Jiaping & Mu, Jianyong & Liu, Jicheng, 2019. "Stochastic flows of SDEs with non-Lipschitz coefficients and singular time," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 118-127.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:133:y:2018:i:c:p:71-79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.