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
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
