Differentiability of Stochastic Differential Equation Driven by d-Dimensional G-Brownian Motion with Respect to the Initial Data

被引：2

作者：

Bougherra, Rania ^{[1
]}

Boutabia, Hacene ^{[1
]}

Belksier, Manel ^{[1
]}

机构：

[1] Badji Mokhtar Univ, Fac Sci, Dept Math, LaPS Lab, Annaba, Algeria

来源：

BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY | 2021年 / 47卷 / SUPPL 1期

关键词：

G-Brownian motion; G-Expectations; G-Stochastic integrals; G-Stochastic differential equations; Random matrices; CALCULUS;

D O I：

10.1007/s41980-020-00490-7

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The present paper is devoted to the study of the differentiability of solutions of stochastic differential equations driven by d-dimensional G-Brownian motion with respect to the initial data. Matricial stochastic differential equation of derivative and its inverse are given. This extends results obtained by Lin in 2013, in the one-dimensional case.

引用

页码：231 / 255

页数：25

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