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.
Non-linear affine pro- cesses with jumps
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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.