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Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations
Authors:Miao Wang  Jiang-Lun Wu
Institution: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.
Keywords:Characterization theorem  Burgers-KPZ type nonlinear equations in infinite dimensions  infinite-dimensional semi-linear stochastic differential equations  Galerkin approximation  Girsanov transformation  stochastic heat equation  path-independence  Frechet differentiation
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