Set-valued backward stochastic differential equations

DOI10.1214/22-aap1896arXiv2007.15073OpenAlexW4388305568MaRDI QIDQ6187467

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Publication date: 15 January 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.15073

zbMATH Keywords

Hukuhara differenceset-valued stochastic integralintegrably bounded set-valued processPicard iteration convex compact setset-valued backward stochastic differential equationset-valued stochastic analysis

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) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cites Work

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