The Bismut-Elworthy-Li formula for semi-linear distribution-dependent SDEs driven by fractional Brownian motion

Publication date 12 September 2022

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this work, we will show the existence, uniqueness, and weak differentiability of the solution to semi-linear mean-field stochastic differential equations driven by fractional Brownian motion. We prove an extension of the Bismut-Elworthy-Li formula and show some applications in the sensitivity analysis of variance swaps and also the price of derivatives with respect to the initial point.

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