摘要
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 BurgersKPZ 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.
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.
基金
supported by Laboratory of Mathematics and Complex Systems,National Natural Science Foundation of China(Grant No.11131003)
Specialized Research Fund for the Doctoral Program of Higher Education
the Fundamental Research Funds for the Central Universities
