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Path independence of the additive functionals for stochastic differential equations driven by G-Lévy processes
Huijie Qiao,
Jiang-lun Wu
Probability, Uncertainty and Quantitative Risk, Volume: 7, Issue: 2, Pages: 101 - 118
Swansea University Author: Jiang-lun Wu
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DOI (Published version): 10.3934/puqr.2022007
Abstract
In the paper, we are concerned with stochastic differential equations driven by G-Lévy processes. We show that certain class of additive functionals of the concerned equations possesses the path independent property, generalizing a few known results in the literature. The paper is ended with several...
| Published in: | Probability, Uncertainty and Quantitative Risk |
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| ISSN: | 2095-9672 2367-0126 |
| Published: |
American Institute of Mathematical Sciences
2022
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa60099 |
| Abstract: |
In the paper, we are concerned with stochastic differential equations driven by G-Lévy processes. We show that certain class of additive functionals of the concerned equations possesses the path independent property, generalizing a few known results in the literature. The paper is ended with several examples. |
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| Keywords: |
The path independence, additive functionals, G-Lévy processes, stochastic differential equations driven by G-Lévy processes. |
| College: |
Faculty of Science and Engineering |
| Funders: |
National Science Foundation of China (No. 11001051, 11371352, 12071071); China Scholarship Council under Grant No. 201906095034. |
| Issue: |
2 |
| Start Page: |
101 |
| End Page: |
118 |