No label defined (Q4456992)

The paper can be split into three parts. The first one is a continuation of a companion paper by the same authors [Dyn. Syst. Appl. 12, No. 3--4, 405--431 (2003; Zbl 1063.93047)]. Strong and weak viability conditions for stochastic differential inclusions are studied assuming various hypotheses. Sufficient viability conditions of strong and weak solutions are formulated in terms of a stochastic contingent set, which is an extension of contingent cone to stochastic inclusions. Weak viability, or \(\varepsilon\)-viability, is formulated as existence of a weakly viable solution which satisfies the respective inclusion with probability \(1-\varepsilon\), where \(\varepsilon\) is a positive number. For \(\varepsilon\to0\) this concept reduces to strong viability. The theory is illustrated by examples from financial applications. In particular, the 1994/95 Baring Bank scandal is used to show the difficulties in selecting appropriate values of the model parameters. The second part of the paper focuses on discontinuous stochastic set-valued processes. Sufficient conditions for the existence of solutions to stochastic functional and mixed inclusions are obtained. In the third part, set-valued stochastic integrals and their single-valued selections are discussed. The integral is introduced by analogy with Aumann's integral of a deterministic set-valued mapping. Stochastic integral properties, such as convexity, continuity and monotonicity with respect to inclusion, are established. A correspondence between the solutions to stochastic inclusions and respective solutions to stochastic equations involving single-valued selectors is proved. Like the first paper, this one is based on results published previously by each of the authors separately.