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
收藏
页码：231 / 255
页数：25
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