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Differentiability of stochastic differential equations driven by the G-Brownian motion

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Abstract

In this paper, we study the differentiability of the solutions of stochastic differential equations driven by the G-Brownian motion with respect to the initial data and the parameter.

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Authors and Affiliations

  1. Institute of Mathematical Economics, Bielefeld University, Postfach 100131, 33501, Bielefeld, Germany

    Qian Lin

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  1. Qian Lin
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Correspondence to Qian Lin.

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Lin, Q. Differentiability of stochastic differential equations driven by the G-Brownian motion. Sci. China Math. 56, 1087–1107 (2013). https://doi.org/10.1007/s11425-012-4534-4

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  • DOI: https://doi.org/10.1007/s11425-012-4534-4

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