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

2019/11/10 by Huijie Qiao, Qiao, Huijie, Jiang-Lun Wu +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #35R06 #60H30 #60J75 #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Biology Tumor Growth #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1911.03830

openalex publication_date 2019/11/10 · openalex created_date 2019/11/22 · openalex updated_date 2026/07/28

Abstract

In this article, the path independent property of additive functionals of McKean-Vlasov stochastic differential equations with jumps is characterised by nonlinear partial integro-differential equations involving L-derivatives with respect to probability measures introduced by P.-L. 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.

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• Stability for multivalued McKean-Vlasov stochastic differential equations

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