Abstract
Using Girsanov transformation, we derive a new link from stochastic differential equations of Markovian type to nonlinear parabolic equations of Burgers-KPZ type, in such a manner that the obtained Burgers-KPZ equation characterizes the path-independence property of the density process of Girsanov transformation for the stochastic differential equation. Our assertion also holds for SDEs on a connected differential manifold.
| Original language | English |
|---|---|
| Pages (from-to) | 1971-1976 |
| Number of pages | 6 |
| Journal | Science in China Series A: Mathematics |
| Volume | 55 |
| Issue number | 10 |
| DOIs | |
| Publication status | Published - 1 Oct 2012 |
Keywords
- stochastic differential equations
- the Girsanov transformation
- nonlinear partial differential equation
- diffusion processes
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