Differentiability of neutral stochastic differential equations driven by G-Brownian motion with respect to the initial data

DOI10.5831/HMJ.2023.45.3.433MaRDI QIDQ6549645zbMATH OpenFDO

Authors Zakaria Boumezbeur, Hacène Boutabia

Publication date 4 June 2024

Published in Honam Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5831/HMJ.2023.45.3.433

zbMATH Keywords

\(G\)-Brownian motiondifferentiabilityneutral stochastic differential equations

Mathematics Subject Classification ID

Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• G-neutral stochastic differential equations with variable delay and non-Lipschitz coefficients
• Differentiability of solutions with respect to parameters in neutral differential equations with state-dependent delays
• Differentiability of stochastic differential equation driven by d-dimensional G-Brownian motion with respect to the initial data
• Differentiability of stochastic differential equations driven by the \(G\)-Brownian motion
• Existence and stability of solutions to non-linear neutral stochastic functional differential equations in the framework of G-Brownian motion
• Exponential stability for stochastic differential equation driven by G-Brownian motion
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Generalized differential equations: differentiability of solutions with respect to initial conditions and parameters
• Higher order differentiability of solutions to backward stochastic differential equations
• scientific article; zbMATH DE number 5070672 (Why is no real title available?)
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
• On differentiability with respect to the initial data of the solution to an SDE with a Lévy noise and discontinuous coefficients
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion

Cited in

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• Differentiability of \(G\)-neutral stochastic differential equations with respect to parameter

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