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Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes

Huijie Qiao, Jiang-lun Wu Orcid Logo

Probability, Uncertainty and Quantitative Risk

Swansea University Author: Jiang-lun Wu Orcid Logo

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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-L\'evy 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...

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Published in: Probability, Uncertainty and Quantitative Risk
ISSN: 2095-9672 2367-0126
Published: American Institute of Mathematical Sciences
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URI: https://cronfa.swan.ac.uk/Record/cronfa60099
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Abstract: In the paper, we are concerned with stochastic differential equations driven by G-L\'evy 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.
Keywords: The path independence, additive functionals, G-L\'evy processes, stochastic differential equations driven by G-L\'evy processes.
College: College of Science
Funders: National Science Foundation of China (No. 11001051, 11371352, 12071071); China Scholarship Council under Grant No. 201906095034.