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Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes

Huijie Qiao, Jiang-lun Wu Orcid Logo

Probability, Uncertainty and Quantitative Risk, Volume: 7, Issue: 2, Pages: 101 - 118

Swansea University Author: Jiang-lun Wu Orcid Logo

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DOI (Published version): 10.3934/puqr.2022007

Abstract

In the paper, we are concerned with stochastic differential equations driven by G-L\'evy processes. We show that certain class of additive functionals of the concerned equations possesses the path independent property, generalizing a few known results in the literature. The paper is ended with...

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Published in: Probability, Uncertainty and Quantitative Risk
ISSN: 2095-9672 2367-0126
Published: American Institute of Mathematical Sciences 2022
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URI: https://cronfa.swan.ac.uk/Record/cronfa60099
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first_indexed 2022-05-29T15:45:14Z
last_indexed 2023-01-11T14:41:50Z
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spelling 2022-09-20T10:35:06.5612035 v2 60099 2022-05-29 Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2022-05-29 SMA In the paper, we are concerned with stochastic differential equations driven by G-L\'evy processes. We show that certain class of additive functionals of the concerned equations possesses the path independent property, generalizing a few known results in the literature. The paper is ended with several examples. Journal Article Probability, Uncertainty and Quantitative Risk 7 2 101 118 American Institute of Mathematical Sciences 2095-9672 2367-0126 The path independence, additive functionals, G-L\&apos;evy processes, stochastic differential equations driven by G-L\&apos;evy processes. 15 6 2022 2022-06-15 10.3934/puqr.2022007 https://www.aimsciences.org/article/doi/10.3934/puqr.2022007 https://www.aimsciences.org/article/doi/10.3934/puqr.2022007 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University Other National Science Foundation of China (No. 11001051, 11371352, 12071071); China Scholarship Council under Grant No. 201906095034. NSFC No. 11001051, 11371352, 12071071, No. 201906095034 2022-09-20T10:35:06.5612035 2022-05-29T15:06:50.5588174 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Huijie Qiao 1 Jiang-lun Wu 0000-0003-4568-7013 2 60099__24235__b14669a9dcd843cba87f45c0ee8a9fa3.pdf QiaoWu-PUQR.pdf 2022-06-06T15:25:06.7743502 Output 342327 application/pdf Accepted Manuscript true true eng
title Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes
spellingShingle Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes
Jiang-lun Wu
title_short Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes
title_full Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes
title_fullStr Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes
title_full_unstemmed Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes
title_sort Path independence of the additive functionals for stochastic differential equations driven by G-L\'evy processes
author_id_str_mv dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiang-lun Wu
author2 Huijie Qiao
Jiang-lun Wu
format Journal article
container_title Probability, Uncertainty and Quantitative Risk
container_volume 7
container_issue 2
container_start_page 101
publishDate 2022
institution Swansea University
issn 2095-9672
2367-0126
doi_str_mv 10.3934/puqr.2022007
publisher American Institute of Mathematical Sciences
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
url https://www.aimsciences.org/article/doi/10.3934/puqr.2022007
document_store_str 1
active_str 0
description In the paper, we are concerned with stochastic differential equations driven by G-L\'evy processes. We show that certain class of additive functionals of the concerned equations possesses the path independent property, generalizing a few known results in the literature. The paper is ended with several examples.
published_date 2022-06-15T04:17:55Z
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score 10.998138

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