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Girsanov theorem for stochastic flows with interaction

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Ukrainian Mathematical Journal Aims and scope

We prove an analog of the Girsanov theorem for the stochastic differential equations with interaction

$$ dz\left( {u,t} \right) = a\left( {z\left( {u,t} \right),{\mu_t}} \right)dt + \int\limits_\mathbb{R} {f\left( {z\left( {u,t} \right) - p} \right)W\left( {dp,dt} \right)}, $$

where W is a Wiener sheet on ℝ × [0; +∞) and a(∙) is a function of special type.

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Authors and Affiliations

  1. “Kiev Polytechnic Institute” Ukrainian National Technical University, Kiev, Ukraine

    T. V. Malovichko

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  1. T. V. Malovichko
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 61, No. 3, pp. 365–383, March, 2009.

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Malovichko, T.V. Girsanov theorem for stochastic flows with interaction. Ukr Math J 61, 435–456 (2009). https://doi.org/10.1007/s11253-009-0216-y

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  • DOI: https://doi.org/10.1007/s11253-009-0216-y

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