Regularity of Solutions of Mean-Field G-SDEs

2025/08/11 by Bollweg, Karl-Wilhelm Georg, Meyer-Brandis, Thilo
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)

paper · doi:10.48550/arxiv.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.

Citations

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Related

• Existence and Regularity of Solutions to Multi-Dimensional Mean-Field Stochastic Differential Equations with Irregular Drift
• Strong Solutions of Mean-Field Stochastic Differential Equations with irregular drift
• Strong Solutions of Mean-Field SDEs with irregular expectation functional in the drift
• SDEs with random and irregular coefficients
• Mean-Field SDEs driven by G-Brownian Motion