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

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.

16 pages

References in corpus (1)

• Path Independence of Additive Functionals for SDEs under G-framework

Cited by in corpus (4)

• Coupled McKean-Vlasov stochastic differential equations with jumps
• Stability for multivalued McKean-Vlasov stochastic differential equations
• Path independence of the additive functionals for stochastic differential equations driven by G-Lévy processes
• Stability for Stochastic McKean-Vlasov Equations with Non-Lipschitz Coefficients