Mean-Field SDEs driven by G-Brownian Motion

Bollweg, Georg und Meyer-Brandis, Thilo (Januar 2024): Mean-Field SDEs driven by G-Brownian Motion.

Abstract

We extend the notion of mean-field SDEs to SDEs driven by G-Brownian motion. More precisely, we consider a G-SDE where the coefficients depend not only on time and the current state but also on the solution as random variable.

• Dokumententyp: Paper
• Publikationsform: Preprint
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik