Differentiability of neutral stochastic differential equations driven by \(G\)-Brownian motion with respect to the initial data

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic integrals (60H05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

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Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
Exponential stability for stochastic differential equation driven by G-Brownian motion
Differentiability of solutions with respect to parameters in neutral differential equations with state-dependent delays
On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
Existence and stability of solutions to non-linear neutral stochastic functional differential equations in the framework of G-Brownian motion
Generalized differential equations: differentiability of solutions with respect to initial conditions and parameters
Differentiability of stochastic differential equations driven by the \(G\)-Brownian motion
\(G\)-neutral stochastic differential equations with variable delay and non-Lipschitz coefficients
Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
Differentiability of stochastic differential equation driven by \(d\)-dimensional \(G\)-Brownian motion with respect to the initial data
On differentiability with respect to the initial data of the solution to an SDE with a Lévy noise and discontinuous coefficients
Higher order differentiability of solutions to backward stochastic differential equations
Nonlinear Expectations and Stochastic Calculus under Uncertainty

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