Mean-Field SDEs driven by $G$-Brownian Motion
Probability
2025-08-06 v1 Mathematical Finance
Abstract
We extend the notion of mean-field SDEs to SDEs driven by -Brownian motion. More precisely, we consider a -SDE where the coefficients depend not only on time and the current state but also on the solution as random variable.
Cite
@article{arxiv.2401.09113,
title = {Mean-Field SDEs driven by $G$-Brownian Motion},
author = {Karl-Wilhelm Georg Bollweg and Thilo Meyer-Brandis},
journal= {arXiv preprint arXiv:2401.09113},
year = {2025}
}