Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps
Sign Up to like & getrecommendations! Published in 2019 at "Infinite Dimensional Analysis, Quantum Probability and Related Topics"
DOI: 10.1142/s0219025721500065
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… read more here.
Keywords: stochastic differential; additive functionals; mckean vlasov; vlasov stochastic ... See more keywords
The Estimation of a Signal Generated by a Dynamical System Modeled by McKean–Vlasov Stochastic Differential Equations Under Sampled Measurements
Sign Up to like & getrecommendations! Published in 2025 at "Mathematics"
DOI: 10.3390/math13111767
Abstract: This paper addresses the problem of optimal H2-filtering for a class of continuous-time linear McKean–Vlasov stochastic differential equations under sampled measurements. The main tool used to solve the filtering problem is a forward jump matrix… read more here.
Keywords: differential equations; sampled measurements; equations sampled; mckean vlasov ... See more keywords