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Mean-Field SDEs driven by $G$-Brownian Motion
Published 17 Jan 2024 in math.PR and q-fin.MF | (2401.09113v1)
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.
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