most citedCharacterizing the path-independent property of the Girsanov density for degenerated stochastic differential equations

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math.PR2016★ 1 cited

Characterizing the path-independent property of the Girsanov density for degenerated stochastic differential equations

Bo Wu, Jiang-Lun Wu

In this paper, we derive a characterization theorem for the path-independent property of the density of the Girsanov transformation for {\it degenerated} stochastic differential eq…