Regularity of Solutions of Mean-Field $G$-SDEs
By: Karl-Wilhelm Georg Bollweg, Thilo Meyer-Brandis
Potential Business Impact:
Makes math models predict behavior more accurately.
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 Fr\'echet differentiability in the random initial condition and specify the $G$-SDEs of the respective Fr\'echet derivatives.
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