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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 [Formula: see text]-derivatives with respect… Click to show full 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 [Formula: see text]-derivatives with respect to probability measures introduced by Lions. Our result extends the recent work16 by Ren and Wang where their concerned McKean–Vlasov stochastic differential equations are driven by Brownian motions.
Keywords:
stochastic differential;
additive functionals;
mckean vlasov;
vlasov stochastic;
differential equations;
functionals mckean
Journal Title: Infinite Dimensional Analysis, Quantum Probability and Related Topics
Year Published: 2019
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Journal Title: Infinite Dimensional Analysis, Quantum Probability and Related Topics
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!