A Burgers-KPZ Type Parabolic Equation \par\noindent for the Path-Independence of the Density of the Girsanov Transformation

A. Truman, F. -Y. Wang, J. -L. Wu +1

Let $X_t$ solve the multidimensional Itô's stochastic differential equations on ${\mathbb{R}}^d$ $$d{X}_t=b(t,X_t)dt+\sigma (t,X_t)d{B}_t$$ where $b:[0,\infty )\times {\mathbb{R}}^d\to {\mathbb{R}}^d$ is smooth in its two a…