Mean-Field SDEs driven by $G$-Brownian Motion
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Acceso en línea: | |
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| _version_ | 1866908478849679360 |
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| author | Bollweg, Karl-Wilhelm Georg Meyer-Brandis, Thilo |
| author_facet | Bollweg, Karl-Wilhelm Georg Meyer-Brandis, Thilo |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_09113 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Mean-Field SDEs driven by $G$-Brownian Motion Bollweg, Karl-Wilhelm Georg Meyer-Brandis, Thilo Probability Mathematical Finance 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. |
| title | Mean-Field SDEs driven by $G$-Brownian Motion |
| topic | Probability Mathematical Finance |
| url | https://arxiv.org/abs/2401.09113 |