Regularity of Solutions of Mean-Field $G$-SDEs
Probability
2025-08-12 v1 Mathematical Finance
Abstract
We study regularity properties of the unique solution of a mean-field -SDE. More precisely, we consider a mean-field -SDE with square-integrable random initial condition and establish its first and second order Fr\'echet differentiability in the random initial condition and specify the -SDEs of the respective Fr\'echet derivatives.
Keywords
Cite
@article{arxiv.2508.07867,
title = {Regularity of Solutions of Mean-Field $G$-SDEs},
author = {Karl-Wilhelm Georg Bollweg and Thilo Meyer-Brandis},
journal= {arXiv preprint arXiv:2508.07867},
year = {2025}
}