On path-independent Girsanov transform
作者：
Highlights：
• This article provides a unified and more direct approach to pathindependent Girsanov transformation for (possibly time-inhomogeneous) Markov processes and their corresponding parabolic partial differential equations.
• We study a stochastic model arose in insurance that was introduced in [27].
• An explicit constructive procedure is given in constructing path-independent Girsanov transforms in this case.
摘要
•This article provides a unified and more direct approach to pathindependent Girsanov transformation for (possibly time-inhomogeneous) Markov processes and their corresponding parabolic partial differential equations.•We study a stochastic model arose in insurance that was introduced in [27].•An explicit constructive procedure is given in constructing path-independent Girsanov transforms in this case.
论文关键词：Girsanov transformation,Local martingale,Stochastic differential equation
论文评审过程：Received 18 July 2020, Revised 5 November 2020, Accepted 26 November 2020, Available online 23 December 2020, Version of Record 23 December 2020.
论文官网地址：https://doi.org/10.1016/j.amc.2020.125845
