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Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps

Huijie Qiao, Jiang-Lun Wu, Jiang-lun Wu

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...

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Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics
ISSN: 0219-0257 1793-6306
Published: Singapore World Scientific Pub Co Pte Lt 2021
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URI: https://cronfa.swan.ac.uk/Record/cronfa56015
first_indexed 2021-01-12T18:23:38Z
last_indexed 2025-01-09T19:58:09Z
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spelling 2025-01-03T10:48:45.9279282 v2 56015 2021-01-12 Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps dbd67e30d59b0f32592b15b5705af885 Jiang-lun Wu Jiang-lun Wu true false 2021-01-12 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. Journal Article Infinite Dimensional Analysis, Quantum Probability and Related Topics 24 01 2150006 World Scientific Pub Co Pte Lt Singapore 0219-0257 1793-6306 McKean–Vlasov stochastic differential equations with jumpsthe Itô formulaadditive functionalspartial integro-differential equations 1 3 2021 2021-03-01 10.1142/s0219025721500065 http://dx.doi.org/10.1142/s0219025721500065 COLLEGE NANME COLLEGE CODE Swansea University 2025-01-03T10:48:45.9279282 2021-01-12T18:16:18.4952597 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Huijie Qiao 1 Jiang-Lun Wu 2 Jiang-lun Wu 3 56015__19041__7e1cbe6ad5e342c1b57994616bb16566.pdf QiaoWu.pdf 2021-01-12T18:23:03.9438321 Output 306184 application/pdf Accepted Manuscript true 2022-03-25T00:00:00.0000000 true eng
title Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
spellingShingle Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
Jiang-lun Wu
title_short Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
title_full Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
title_fullStr Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
title_full_unstemmed Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
title_sort Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
author_id_str_mv dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiang-lun Wu
author2 Huijie Qiao
Jiang-Lun Wu
Jiang-lun Wu
format Journal article
container_title Infinite Dimensional Analysis, Quantum Probability and Related Topics
container_volume 24
container_issue 01
container_start_page 2150006
publishDate 2021
institution Swansea University
issn 0219-0257
1793-6306
doi_str_mv 10.1142/s0219025721500065
publisher World Scientific Pub Co Pte Lt
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
url http://dx.doi.org/10.1142/s0219025721500065
document_store_str 1
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description 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.
published_date 2021-03-01T05:02:49Z
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score 11.04748

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