scholarly journals Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations

2018 ◽  
Vol 133 ◽  
pp. 71-79 ◽  
Author(s):  
Bo Wu ◽  
Jiang-Lun Wu
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Independent Property

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

2021 ◽  
Vol 24 (01) ◽  
pp. 2150006
Author(s):  
Huijie Qiao ◽  
Jiang-Lun Wu
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Recent Work ◽  
Probability Measures ◽  
Brownian Motions ◽  
Additive Functionals ◽  
Path Independence ◽  
Independent Property

In this paper, the path independent property of additive functionals of McKean–Vlasov stochastic differential equations with jumps is characterized by nonlinear partial integro-differential equations involving [Formula: see text]-derivatives with respect to probability measures introduced by Lions. Our result extends the recent work16 by Ren and Wang where their concerned McKean–Vlasov stochastic differential equations are driven by Brownian motions.

Stochastic Differential Equations for Power Law Behaviors

2012 ◽  
Author(s):  
Bo Jiang ◽  
Roger Brockett ◽  
Weibo Gong ◽  
Don Towsley
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Power Law

scholarly journals Strong Solution Existence for a Class of Degenerate Stochastic Differential Equations

2020 ◽  
Vol 53 (2) ◽  
pp. 2220-2224
Author(s):  
William M. McEneaney ◽  
Hidehiro Kaise ◽  
Peter M. Dower ◽  
Ruobing Zhao
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Strong Solution ◽  
Solution Existence
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