Differentiability of <i>G</i>-neutral stochastic differential equations with respect to parameter-Reference-Cited by-同舟云学术

Differentiability of G-neutral stochastic differential equations with respect to parameter

Published:2024-02-20 Issue:2 Volume:32 Page:159-173
ISSN:0926-6364
Container-title:Random Operators and Stochastic Equations
language:en
Short-container-title:

Author:

Boumezbeur Zakaria¹,Boutabia Hacène¹,Redjil Amel¹,Kebiri Omar²

Affiliation:

1. Department of Mathematics , Faculty of Sciences, LaPS Laboratory , [ 124745]Badji-Mokhtar University, Annaba , Algeria

2. Institute of Mathematics , [ 9166]Free University of Berlin, Berlin ; and Department of Stochastics and its Applications, University of Cottbus, Cottbus , Germany

Abstract

Abstract In this paper, we study the differentiability of solutions of neutral stochastic differential equations driven by G-Brownian motion with respect to parameter. Under suitable assumptions, we show that solutions are differentiable with respect to the parameter which appears in the initial data. In addition, the stochastic differential equation of the derivative is given and the existence-uniqueness of solution is proved. Moreover, an example to illustrate the theoretically obtained results is presented.

Funder

Deutsche Forschungsgemeinschaft

Publisher

Walter de Gruyter GmbH

Link

https://www.degruyter.com/document/doi/10.1515/rose-2024-2005/pdf

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