Mean-field stochastic differential equations driven by G-Brownian motion

Bollweg, Georg und Meyer-Brandis, Thilo (Juni 2025): Mean-field stochastic differential equations driven by G-Brownian motion. In: Probability, Uncertainty and Quantitative Risk, Bd. 10, Nr. 2: S. 241-264

Abstract

This paper introduces a novel formulation of mean-field stochastic differential equations driven by G-Brownian motion. The proposed formulation generalises existing approaches within the G-framework and enables the study of Fréchet differentiability. Under non-Lipschitz conditions on the coefficients, we establish the existence and uniqueness of a solution for square-integrable stochastic initial data.

• Dokumententyp: Zeitungsartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 2095-9672
• Sprache: Englisch