Bollweg, Georg und Meyer-Brandis, Thilo
ORCID: https://orcid.org/0000-0002-6374-7983
(2025):
Regularity of Generalized Mean-Field G-SDEs.
In: Mathematics, Vol. 13, No. 19, 3099
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DOI: 10.3390/math13193099
Additional link: https://arxiv.org/abs/2508.07867
Abstract
We study regularity properties of the unique solution of a mean-field G-SDE. More precisely, we consider a mean-field G-SDE with square-integrable random initial condition and establish its first and second order Fréchet differentiability in the random initial condition and specify the G-SDEs of the respective Fréchet derivatives.
| Item Type: | Journal article |
|---|---|
| Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| URN: | urn:nbn:de:bvb:19-epub-128320-2 |
| ISSN: | 2227-7390 |
| Language: | English |
| Item ID: | 128320 |
| Date Deposited: | 12. Sep 2025 10:55 |
| Last Modified: | 03. Nov 2025 12:11 |
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