Properties of set-valued stochastic differential equations

DOI10.1080/02331934.2016.1245304zbMath1353.60054OpenAlexW2533427013MaRDI QIDQ2836096

Mariusz Michta, Michał Kisielewicz

Publication date: 7 December 2016

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2016.1245304

zbMATH Keywords

set-valued integralset-valued stochastic differential equationsstochastic differential inclusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Set-valued operators (47H04) Stochastic integrals (60H05) Stochastic analysis (60H99)

Related Items (7)

Weak solutions of set-valued stochastic differential equations ⋮ Stochastic inclusions and set-valued stochastic equations driven by a two-parameter Wiener process ⋮ A viability theorem for set-valued states in a Hilbert space ⋮ Stochastic inclusions and set-valued stochastic equations with mixed integrals in the plane ⋮ Set-valued backward stochastic differential equations ⋮ Stochastic integrals and stochastic equations in set-valued and fuzzy-valued frameworks ⋮ Properties of set-valued integrals and set-valued stochastic equations driven by two-parameter martingales

Cites Work

• Set-valued stochastic integral equations driven by martingales
• Remarks on unboundedness of set-valued Itô stochastic integrals
• On the solutions of set-valued stochastic differential equations in M-type 2 Banach spaces
• Integrals, conditional expectations, and martingales of multivalued functions
• Continuity properties of solutions of multivalued equations with white noise perturbation
• Set valued functions in Fréchet spaces: continuity, Hukuhara differentiability and applications to set differential equations
• A calculus for set-valued maps and set-valued evolution equations
• Set-valued and fuzzy stochastic differential equations driven by semimartingales
• Stochastic differential inclusions and applications.
• The interrelation between stochastic differential inclusions and set-valued stochastic differential equations
• On Set-Valued Stochastic Integrals
• Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales

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