Multivalued monotone stochastic differential equations with jumps

被引：3

作者：

Maticiuc, Lucian ^{[1
]}

Rascanu, Aurel ^{[1
]}

Slominski, Leszek ^{[2
]}

机构：

[1] Alexandra Ioan Gaza Univ, Fac Math, Carol 1 Blvd 11, Iasi 700506, Romania

[2] Nicholas Copernicus Univ, Fac Math & Comp Sci, Ul Chopina 12-18, PL-87100 Torun, Poland

来源：

STOCHASTICS AND DYNAMICS | 2017年 / 17卷 / 03期

关键词：

Multivalued stochastic differential equations with jumps; maximal monotone operators; Yosida approximations; REFLECTING BOUNDARY-CONDITIONS; VARIATIONAL-INEQUALITIES; MULTIDIMENSIONAL SDES; SKOROKHOD PROBLEM; EULER SCHEME; APPROXIMATION; STABILITY; DIFFUSIONS;

D O I：

10.1142/S0219493717500186

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：

We study multivalued stochastic differential equations (MSDEs) with maximal monotone operators driven by semimartingales with jumps. We discuss in detail some methods of approximation of solutions of MSDEs based on discretization of processes and Yosida approximation of the monotone operator. We also study the general problem of stability of solutions of MSDEs with respect to the convergence of driving semimartingales.

引用

页数：25

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