Regularity of Solutions of Mean-Field $G$-SDEs
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866913984358121472 |
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| author | Bollweg, Karl-Wilhelm Georg Meyer-Brandis, Thilo |
| author_facet | Bollweg, Karl-Wilhelm Georg Meyer-Brandis, Thilo |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_07867 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Regularity of Solutions of Mean-Field $G$-SDEs Bollweg, Karl-Wilhelm Georg Meyer-Brandis, Thilo Probability Mathematical Finance 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. |
| title | Regularity of Solutions of Mean-Field $G$-SDEs |
| topic | Probability Mathematical Finance |
| url | https://arxiv.org/abs/2508.07867 |