Properties of set-valued stochastic differential equations

被引：8

作者：

Kisielewicz, Michal ^{[1
]}

Michta, Mariusz ^{[1
]}

机构：

[1] Univ Zielona Gora, Fac Math Comp Sci & Econometr, Zielona Gora, Poland

来源：

OPTIMIZATION | 2016年 / 65卷 / 12期

关键词：

Set-valued mapping; set-valued integral; set-valued stochastic process; 60H05; 28B20; 47H04; INTEGRALS; SPACES; MARTINGALES; INCLUSIONS;

D O I：

10.1080/02331934.2016.1245304

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

The paper is devoted to properties of set-valued stochastic differential equations. The main result of the paper deals with existence and uniqueness of solutions. Furthermore, a connection between solutions of stochastic differential inclusions and solutions of set-valued stochastic differential equations are given. The result of the paper extends a lot of particular results dealing with such type equations.

引用

页码：2153 / 2169

页数：17

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