Path independence of the additive functionals for stochastic differential equations driven by G-l?vy processes

被引：0

作者：

Qiao, Huijie ^{[1
,2
]}

Wu, Jiang -Lun ^{[3
]}

机构：

[1] Southeast Univ, Sch Math, Nanjing 211189, Jiangsu, Peoples R China

[2] Univ Illinois, Dept Math, Urbana, IL 61801 USA

[3] Swansea Univ, Dept Math, Computat Foundry, Bay Campus, Swansea SA1 8EN, Wales

来源：

PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK | 2022年 / 7卷 / 02期

关键词：

The path independence; Additive functionals; G-L?vy processes; Stochastic differential equations driven by G-L?vy processes;

D O I：

10.3934/puqr.2022007

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this study, we are interested in stochastic differential equations driven by G-Levy processes. We illustrate that a certain class of additive functionals of the equations of interest exhibits the path-independent property, generalizing a few known findings in the literature. The study is ended with many examples.

引用

页码：101 / 118

页数：18

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