1. Department of Mathematics, Swansea University, Swansea SA2 8PP, UK2. School of Mathematics, Northwest University, Xi’an 710127, China
Abstract:
Based on a recent result on linking stochastic differential equations on ?d to (finite-dimensional) Burger-KPZ type nonlinear parabolic partial differential equations, we utilize Galerkin type finite-dimensional approximations to characterize the path-independence of the density process of Girsanov transformation for the infinite-dimensional stochastic evolution equations. Our result provides a link of infinite-dimensional semi-linear stochastic differential equations to infinite-dimensional Burgers-KPZ type nonlinear parabolic partial differential equations. As an application, this characterization result is applied to stochastic heat equation in one space dimension over the unit interval.