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arXiv · 2209.05586

The Bismut-Elworthy-Li formula for semi-linear distribution-dependent SDEs driven by fractional Brownian motion

M. Tahmasebi
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Abstract

In this work, we will show the existence, uniqueness, and weak differentiability of the solution to semi-linear mean-field stochastic differential equations driven by fractional Brownian motion. We prove an extension of the Bismut-Elworthy-Li formula and show some applications in the sensitivity analysis of variance swaps and also the price of derivatives with respect to the initial point.

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BibTeXRIS

M. Tahmasebi. 2022-09-12. The Bismut-Elworthy-Li formula for semi-linear distribution-dependent SDEs driven by fractional Brownian motion. https://arxiv.org/abs/2209.05586

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