Regularity of Solutions of Mean-Field $G$-SDEs

Karl-Wilhelm Georg Bollweg and Thilo Meyer-Brandis

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Abstract: We study regularity properties of the unique solution of a mean-field $G$-SDE. More precisely, we consider a mean-field $G$-SDE with square-integrable random initial condition and establish its first and second order Fr\'echet differentiability in the random initial condition and specify the $G$-SDEs of the respective Fr\'echet derivatives.

Date: 2025-08
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