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Path independence of the additive functionals for stochastic differential equations driven by G-lévy processes

The first author thanks Professor Renming Song for providing her an excellent environment to work in the University of Illinois at Urbana-Champaign. She also thanks Professor Hongjun Gao for valuable discussion. Both authors are grateful to the referees for their constructive suggestions and comments which led to improve the results and the presentation of this paper. This work was partly supported by NSF of China (Grant Nos. 11001051, 11371352, 12071071) and China Scholarship Council (Grant No. 201906095034).

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  • In this study, we are interested in stochastic differential equations driven by G-Lévy 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.

    Mathematics Subject Classification: 60H10, 60G51.


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