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

DOI10.1515/ROSE-2024-2005MaRDI QIDQ6554579FDOQ6554579

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)

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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)

Cites Work

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• The theory of differential equations. Classical and qualitative
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• On differentiability of solutions with respect to parameters in neutral differential equations with state-dependent delays
• Generalized differential equations: differentiability of solutions with respect to initial conditions and parameters
• Averaging principle for SDEs of neutral type driven by G-Brownian motion
• Differentiability of stochastic differential equation driven by \(d\)-dimensional \(G\)-Brownian motion with respect to the initial data

Cited In (1)

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

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