Girsanov theorem for stochastic flows with interaction
We prove an analog of the Girsanov theorem for the stochastic differential equations with interaction $$dz(u,t) = a(z(u,t),μt)dt + ∫R f(z(u,t)−p)W(dp,dt),$$ where $W$ is a Wiener sheet on $ℝ × [0; +∞)$ and $a(∙)$ is a function of special type.
Saved in:
| Date: | 2009 |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | Russian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
2009
|
| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/3025 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
| Download file: |  |
Institution
Ukrains’kyi Matematychnyi Zhurnal| Summary: | We prove an analog of the Girsanov theorem for the stochastic differential equations with interaction
$$dz(u,t) = a(z(u,t),μt)dt + ∫R f(z(u,t)−p)W(dp,dt),$$
where $W$ is a Wiener sheet on $ℝ × [0; +∞)$ and $a(∙)$ is a function of special type. |
|---|