Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps-Reference-Cited by-同舟云学术

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

Published:2021-03 Issue:01 Volume:24 Page:2150006
ISSN:0219-0257
Container-title:Infinite Dimensional Analysis, Quantum Probability and Related Topics
language:en
Short-container-title:Infin. Dimens. Anal. Quantum. Probab. Relat. Top.

Author:

Qiao Huijie¹²,Wu Jiang-Lun³

Affiliation:

1. School of Mathematics, Southeast University, Nanjing, Jiangsu 211189, P. R. China

2. Department of Mathematics, University of Illinois at Urbana-Champaign, Urbana, IL 61801, USA

3. Department of Mathematics, Computational Foundry, Swansea University, Bay Campus, Swansea SA1 8EN, UK

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.

Funder

NSF of China

China Scholarship Council

Publisher

World Scientific Pub Co Pte Lt

Subject

Applied Mathematics,Mathematical Physics,Statistics and Probability,Statistical and Nonlinear Physics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219025721500065

Reference17 articles.

1. Mean-field stochastic differential equations and associated PDEs

2. The fractional Neumann and Robin type boundary conditions for the regional fractional p-Laplacian

3. Mean rates of convergence of empirical measures in the Wasserstein metric

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