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

DOI10.1142/S0219025721500065zbMath1478.60195arXiv1911.03830OpenAlexW3123278734WikidataQ115245777 ScholiaQ115245777MaRDI QIDQ4995036

Huijie Qiao, Jiang-Lun Wu

Publication date: 23 June 2021

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.03830

zbMATH Keywords

additive functionalsItô formulapartial integro-differential equationsMckean-Vlasov stochastic differential equations with jumps

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with measure (35R06) Jump processes on general state spaces (60J76)

Related Items (3)

Path independence of the additive functionals for stochastic differential equations driven by \(G\)-Lévy processes ⋮ The Onsager-Machlup action functional for McKean-Vlasov stochastic differential equations ⋮ Stability for Stochastic McKean--Vlasov Equations with Non-Lipschitz Coefficients

Cites Work

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• Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
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• Mean-field stochastic differential equations and associated PDEs
• Path independence of additive functionals for stochastic differential equations under \(G\)-framework
• On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
• Space-distribution PDEs for path independent additive functionals of McKean–Vlasov SDEs
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
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