Stochastic differential inclusions

• Autorzy: Michał Kisielewicz
• Języki publikacji: EN

Abstrakty

EN

The definition and some existence theorems for stochastic differential inclusions depending only on selections theorems are given.

Słowa kluczowe

EN

stochastic processes; stochastic inclusions; continuous semimartingals; stochastic differential

Kategorie tematyczne

• 93E03: Stochastic systems, general
• 93C30: Systems governed by functional relations other than differential equations (such as hybrid and switching systems)

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae, Differential Inclusions, Control and Optimization
• Rocznik: 1997
• Tom: 17
• Numer: 1-2
• Strony: 51-65

Daty

wydano

1997

otrzymano

1997-09-15

Twórcy

autor

Michał Kisielewicz

• Institute of Mathematics, Technical University of Zielona Góra, Podgórna 50, 65-246 Zielona Góra, Poland

Bibliografia

• [1] F. Hiai, Multivalued stochastic integrals and stochastic differential inclusions, 1993 (not published).
• [2] M. Kisielewicz, Set-valued stochastic integrals and stochastic inclusions, Stoch. Anal. Appl., 15 (5) (1997), 783-800.
• [3] N.U. Ahmed, Existence of solutions of nonlinear stochastic differential inclusions on Banach space, Proc. World Congress Nonlinear Anal. 1993.
• [4] Ph. Proter, Stochastic Integration and Differential Equations, Springer-Verlag 1990.
• [5] J. Motyl, Set-valued integrals, (not published).
• [6] M. Kisielewicz, Differential Inclusions and Optimal Control, Kluwer Acad. Publ. 1991.
• [7] M. Kisielewicz, Properties of solution sets of stochastic inclusions, Journal Appl. Math. and Stoch. Anal., 6 (3) (1993), 217-236.
• [8] J.P. Aubin and A. Cellina, Differential Inclusions, Springer-Verlag 1984.
• [9] I.I. Gihman and A.V. Skorohod, The Theory of Stochastic Processes III, Springer-Verlag 1979.
• [10] A. Bressan and G. Colombo, Extensions and selections of maps with decomposable values, Studia Math. 40 (1988), 69-85.
• [11] I.I. Gihman and A.V. Skorohod, The Theory of Stochastic processes I, Springer-Verlag 1974.
• [12] N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North Holland Publ. Comp. 1981.