Abstract In this paper, we study the differentiability of solutions of neutral stochastic differential equations driven by G-Brownian motion with respect to parameter. Under suitable assumptions, we show that solutions… Click to show full abstract
Abstract In this paper, we study the differentiability of solutions of neutral stochastic differential equations driven by G-Brownian motion with respect to parameter. Under suitable assumptions, we show that solutions are differentiable with respect to the parameter which appears in the initial data. In addition, the stochastic differential equation of the derivative is given and the existence-uniqueness of solution is proved. Moreover, an example to illustrate the theoretically obtained results is presented.
Journal Title: Random Operators and Stochastic Equations
Year Published: 2024
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