Year: 2025
Type: article
Abstract: This paper introduces a novel formulation of mean-field stochastic differential equations driven by G-Brownian motion. The proposed formulation generalises existing approaches within the G-framework and enables the study of Fréchet differentiability. Under non-Lipschitz conditions on the coefficients, we establish the existence and uniqueness of a solution for square-integrable stochastic initial data.
DOI: 10.3934/puqr.2025011
Authors: Karl-Wilhelm Georg Bollweg, Thilo Meyer-Brandis
Institution: Ludwig-Maximilians-Universität München
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4409203259