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A link of SDEs to Burgers-KPZ type equations via Girsanov transformation

GFM seminar
IIIUL, B1-01
2012-05-29 14:30 .. 15:30
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Jiang Lun Wu (Univ. Swansea, UK)

A link of stochastic differential equations to a Burgers-KPZ type nonlinear parabolic equation via Girsanov transformation will be presented. The derived PDE gives a characterization of the path-independence property of the Girsanov transformation for the stochastic differential equations. Links to the path-independence property in the existing literature will be briefly discussed.

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