Title of article
Differentiability of Stochastic Differential Equation Driven by d-Dimensional G-Brownian Motion with Respect to the Initial Data
Author/Authors
Bougherra ، Rania , Boutabia ، Hacène , Belksier ، Manel
From page
231
To page
255
Abstract
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.
Keywords
G , Brownian motion , G , Expectations , G , Stochastic integrals , G , Stochastic differential equations , Random matrices ,
Journal title
Bulletin of the Iranian Mathematical Society
Journal title
Bulletin of the Iranian Mathematical Society
Record number
2744137
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