On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs
Probability
2022-11-22 v1
Abstract
The Girsanov transform and Kolmogorov equations are two useful methods for studying SPDEs. It is shown that, under suitable conditions, the series expansion obtained from the Girsanov transform coincides with the one generated by an iteration scheme for Kolmogorov equations. We also apply the iteration approach to extend the well posedness theory for Kolmogorov equations beyond the boundedness condition on the nonlinear term.
Keywords
Cite
@article{arxiv.2006.06189,
title = {On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs},
author = {Franco Flandoli and Dejun Luo and Cristiano Ricci},
journal= {arXiv preprint arXiv:2006.06189},
year = {2022}
}
Comments
26 pages