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.
Funding source: Deutsche Forschungsgemeinschaft
Award Identifier / Grant number: EXC-2046/1
Award Identifier / Grant number: project ID: 390685689
Funding statement: The authors knowledge the funding of the ERASMUS KA107 project. Omar Kebiri knowledges the funding of the Deutsche Forschungsgemeinschaft (DFG, German Research Foundation) under Germany’s Excellence Strategy – The Berlin Mathematics Research Center MATH+ (EXC-2046/1, project ID: 390685689), project EF4-6.
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