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题名Path independence of the additive functionals for McKean-Vlasov stochastic differential equations with jumps
作者
发表日期2021-03-01
发表期刊Infinite Dimensional Analysis, Quantum Probability and Related Topics
ISSN/eISSN0219-0257
卷号24期号:1
摘要

In this paper, the path independent property of additive functionals of McKean-Vlasov stochastic differential equations with jumps is characterized by nonlinear partial integro-differential equations involving L-derivatives with respect to probability measures introduced by Lions. Our result extends the recent work 16 by Ren and Wang where their concerned McKean-Vlasov stochastic differential equations are driven by Brownian motions.

关键词additive functionals McKean-Vlasov stochastic differential equations with jumps partial integro-differential equations the Itô formula
DOI10.1142/S0219025721500065
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收录类别SCIE
语种英语English
WOS研究方向Mathematics ; Physics
WOS类目Mathematics, Applied ; Quantum Science & Technology ; Physics, Mathematical ; Statistics & Probability
WOS记录号WOS:000640524500006
Scopus入藏号2-s2.0-85103463498
引用统计
被引频次:6[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/10488
专题个人在本单位外知识产出
通讯作者Qiao, Huijie
作者单位
1.School of Mathematics,Southeast University,Nanjing, Jiangsu,211189,China
2.Department of Mathematics,University of Illinois at Urbana-Champaign,Urbana,61801,United States
3.Department of Mathematics,Computational Foundry,Swansea University,Bay Campus, Swansea,SA1 8EN,United Kingdom
推荐引用方式
GB/T 7714
Qiao, Huijie,Wu, Jianglun. Path independence of the additive functionals for McKean-Vlasov stochastic differential equations with jumps[J]. Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2021, 24(1).
APA Qiao, Huijie, & Wu, Jianglun. (2021). Path independence of the additive functionals for McKean-Vlasov stochastic differential equations with jumps. Infinite Dimensional Analysis, Quantum Probability and Related Topics, 24(1).
MLA Qiao, Huijie,et al."Path independence of the additive functionals for McKean-Vlasov stochastic differential equations with jumps". Infinite Dimensional Analysis, Quantum Probability and Related Topics 24.1(2021).
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