  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.

Probability