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arXiv:1911.03830 [math.PR]AbstractReferencesReviewsResources

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

Huijie Qiao, Jiang-Lun Wu

Published 2019-11-10Version 1

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 motion.

Comments: 14 pages
Categories: math.PR
Subjects: 60H30, 60J75, 35R04
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