Mean-Field SDEs driven by G-Brownian Motion

2024/01/17 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.2401.09113

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.

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