Characterising path-independence of Girsanov transform for stochastic differential equations

8 May 2017
14:15
JIANG-LUN WU
Abstract

This talk will address a new 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 characterisation by nonlinear parabolic equations of Burgers-KPZ type. 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.

  • Stochastic Analysis Seminar