Differentiability of G-neutral stochastic differential equations with respect to parameter

DOI10.1515/ROSE-2024-2005MaRDI QIDQ6554579zbMATH OpenFDO

Authors Zakaria Boumezbeur, Hacène Boutabia, Amel Redjil, Omar Kebiri

Publication date 12 June 2024

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

zbMATH Keywords

\(G\)-Brownian motiondifferentiabilityneutral stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Stochastic integrals (60H05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cites work

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• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
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• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

Cited in

(1)

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

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