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scientific article; zbMATH DE number 1490949
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scientific article; zbMATH DE number 1490949 |
Statements
9 November 2000
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solution
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stochastic differential inclusions
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stochastic processes
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convex set valued semimartingale
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0.97390777
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0.96381325
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0.9554012
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0.9549282
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The author defines a new notion of solution for stochastic differential inclusions of the form \[ dZ_t\in F(Z_t) dX_t, \] where \(F\) and \(X\) are given stochastic processes. When \(F\) is convex valued, bounded and Lipschitz continuous and when \(X\) is an \(H^\infty\)-bounded convex set valued semimartingale, then the above stochastic differential inclusion admits at least one solution.
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