Different types of spdes in the eyes of girsanov's theorem
作者:
H. Allouba,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1998)
卷期:
Volume 16,
issue 5
页码: 787-810
ISSN:0736-2994
年代: 1998
DOI:10.1080/07362999808809562
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
We prove Girsanov's theorem for continuous orthogonal martingale measures. We then define space-time SDEs, and use Girsanov's theorem to establish a oneto- one correspondence between solutions of two space-time SDEs differing only by a drift coefficient. For such stochastic equations, we give necessary conditions under which the laws of their solutions are absolutely continuous with respect to each other. Using Girsanov's theorem again, we prove additional existence and uniqueness results for space-time SDEs. The same one-to-one correspondence and absolute continuity theorems are also proved for the stochastic heat and wave equations
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