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