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Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
Infinite Dimensional Analysis, Quantum Probability and Related Topics, Volume: 24, Issue: 01, Start page: 2150006
Swansea University Author: Jiang-lun Wu
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DOI (Published version): 10.1142/s0219025721500065
Abstract
In this article, the path independent property of additive functionals of McKean-Vlasov stochastic differential equations with jumps is characterised by nonlinear partial integro-differential equations involving L-derivatives with respect to probability measures introduced by P.-L. Lions. Our result...
| Published in: | Infinite Dimensional Analysis, Quantum Probability and Related Topics |
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| ISSN: | 0219-0257 1793-6306 |
| Published: |
Singapore
World Scientific Pub Co Pte Lt
2021
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa56015 |
| Abstract: |
In this article, the path independent property of additive functionals of McKean-Vlasov stochastic differential equations with jumps is characterised by nonlinear partial integro-differential equations involving L-derivatives with respect to probability measures introduced by P.-L. Lions. Our result extends the recent work [16] by Ren and Wang where their concerned McKean-Vlasov stochastic differential equations are driven by Brownian motion. |
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| Keywords: |
McKean–Vlasov stochastic differential equations with jumpsthe Itô formulaadditive functionalspartial integro-differential equations |
| College: |
Faculty of Science and Engineering |
| Issue: |
01 |
| Start Page: |
2150006 |