Path independence of the additive functionals for stochastic differential equations driven by \(G\)-Lévy processes

DOI10.3934/puqr.2022007zbMath1498.60235arXiv2001.03528MaRDI QIDQ2165736

Jiang-Lun Wu, Huijie Qiao

Publication date: 22 August 2022

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.03528

zbMATH Keywords

additive functionals; path independence; \(G\)-Lévy processes; stochastic differential equations driven by \(G\)-Lévy processes

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G65: Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes)