Characterising path-independence of Girsanov transform for stochastic differential equations

Jiang-Lun Wu (Swansea University)

Alan Turing Building G.108,

This talk will address a link from stochastic differential equations (SDEs) to nonlinear parabolic PDEs. Starting from the necessary and sufficient condition of the path-independence of the density of Girsanov transform for SDEs, we derive a nonlinear parabolic equation of Burgers-KPZ type as a characterisation. Extensions to the case of SDEs on differential manifolds and the case od SDEs with jumps as well as to that of (infinite dimensional) SDEs on separable Hilbert spaces will be discussed. A perspective to stochastically deformed dynamical systems will be briefly considered.

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