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Mean-Field SDEs driven by $G$-Brownian Motion

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  • Karl-Wilhelm Georg Bollweg
  • Thilo Meyer-Brandis

Abstract

We extend the notion of mean-field SDEs to SDEs driven by $G$-Brownian motion. More precisely, we consider a $G$-SDE where the coefficients depend not only on time and the current state but also on the solution as random variable.

Suggested Citation

  • Karl-Wilhelm Georg Bollweg & Thilo Meyer-Brandis, 2024. "Mean-Field SDEs driven by $G$-Brownian Motion," Papers 2401.09113, arXiv.org.
  • Handle: RePEc:arx:papers:2401.09113
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    File URL: http://arxiv.org/pdf/2401.09113
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    References listed on IDEAS

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    1. Zongxia Liang & Ming Ma, 2020. "Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1035-1072, July.
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