Stochastic inclusions and set-valued stochastic equations driven by a two-parameter Wiener process

被引:1
|
作者
Michta, Mariusz [1 ]
Swiatek, Kamil Lukasz [2 ]
机构
[1] Univ Zielona Gora, Fac Math Comp Sci & Econometr, Szafrana 4A, PL-65516 Zielona Gora, Poland
[2] Poznan Univ Tech, Inst Math, Piotrowo 3A, PL-60965 Poznan, Poland
关键词
Two-parameter Wiener process; set-valued stochastic integral equation; stochastic inclusion; DIFFERENTIAL-INCLUSIONS; WAVE-EQUATIONS; WEAK SOLUTIONS; INTEREST-RATES; TERM STRUCTURE; INTEGRALS; MARTINGALES; EXISTENCE; VIABILITY; PLANE;
D O I
10.1142/S0219493718500478
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In the paper we study properties of solutions to stochastic differential inclusions and set-valued stochastic differential equations driven by a two-parameter Wiener process. We establish new connections between their solutions. We prove that attainable sets of solutions to such inclusions are subsets of values of multivalued solutions of associated set-valued stochastic equations. Next we show that every solution to stochastic inclusion is a continuous selection of a multivalued solution of an associated set-valued stochastic equation. Additionally we establish other properties of such solutions. The results obtained in the paper extends results dealing with this topic known both in deterministic and stochastic cases.
引用
收藏
页数:36
相关论文
共 50 条