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

Huijie Qiao; Jiang-Lun Wu

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arXiv · 1911.03830

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

Huijie Qiao·Jiang-Lun Wu

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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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Huijie Qiao, Jiang-Lun Wu. 2019-11-10. Path independence of the additive functionals for McKean-Vlasov stochastic differential equations with jumps. https://arxiv.org/abs/1911.03830

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