Set-valued assessments of solutions to stochastic differential equations with random set parameters

被引：13
|
作者：
Schmelzer, Bernhard [1 ]
机构：
[1] Univ Innsbruck, Unit Engn Math, A-6020 Innsbruck, Austria
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2013年 / 400卷 / 02期
关键词：
Stochastic differential equation; Random set; Parameter uncertainty; Set-valued stochastic process; Set-valued set function; Parameterized probability measures; INTEGRALS;
D O I：
10.1016/j.jmaa.2012.11.019
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider stochastic differential equations depending on parameters whose uncertainty is modeled by random compact sets. Several approaches are discussed how to construct set-valued stochastic processes from the solutions. The induced lower and upper probabilities are compared to a set-valued set function and a set of probability measures constructed from the distributions of the solutions and the selections of the random set. (C) 2012 Elsevier Inc. All rights reserved.
引用
收藏
页码：425 / 438
页数：14
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