Under smoothness conditions on the coefficients, the solution map of a mean-field G-SDE is Fréchet differentiable up to second order, with derivatives characterized as solutions of new G-SDEs.
Nonlinear expectations and stochastic calculus under uncertainty: with Ro- bust CLT and G-Brownian motion
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
citation-role summary
background 1
citation-polarity summary
fields
math.PR 1years
2025 1verdicts
CONDITIONAL 1roles
background 1polarities
unclear 1representative citing papers
citing papers explorer
-
Regularity of Solutions of Mean-Field $G$-SDEs
Under smoothness conditions on the coefficients, the solution map of a mean-field G-SDE is Fréchet differentiable up to second order, with derivatives characterized as solutions of new G-SDEs.