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 Kol- mogorov equations. We also apply the iteration approach to extend the well posedness theory for Kolmogorov equations beyond the boundedness condition on the nonlinear term.
On the Relation Between the Girsanov Transform and the Kolmogorov Equations for SPDEs
Flandoli, Franco;Luo, Dejun;Ricci, Cristiano
2022
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 Kol- mogorov equations. We also apply the iteration approach to extend the well posedness theory for Kolmogorov equations beyond the boundedness condition on the nonlinear term.File in questo prodotto:
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Girsanov Luo Ricci.pdf
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2006.06189v1.pdf
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