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

doi:10.1142/S0219025721500065

Details of Research Outputs

Status	已发表Published
Title	Path independence of the additive functionals for McKean-Vlasov stochastic differential equations with jumps
Creator	Qiao, Huijie 1,2; Wu, Jianglun3
Date Issued	2021-03-01
Source Publication	Infinite Dimensional Analysis, Quantum Probability and Related Topics
ISSN	0219-0257
Volume	24 Issue:1
Abstract	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.
Keyword	additive functionals McKean-Vlasov stochastic differential equations with jumps partial integro-differential equations the Itô formula
DOI	10.1142/S0219025721500065
URL	View source
Indexed By	SCIE
Language	英语English
WOS Research Area	Mathematics ; Physics
WOS Subject	Mathematics, Applied ; Quantum Science & Technology ; Physics, Mathematical ; Statistics & Probability
WOS ID	WOS:000640524500006
Scopus ID	2-s2.0-85103463498
Citation statistics	Cited Times:6[WOS] [WOS Record] [Related Records in WOS]
Document Type	Journal article
Identifier	http://repository.uic.edu.cn/handle/39GCC9TT/10488
Collection	Research outside affiliated institution
Corresponding Author	Qiao, Huijie
Affiliation	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
Recommended Citation 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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