Brownian motion and exposed solutions of differential inclusions

DOI10.1007/S00030-012-0168-ZMaRDI QIDQ2393614zbMATH OpenOpenAlexFDO

Authors Giovanni Colombo, Vladimir V. Goncharov

Publication date 8 August 2013

Published in NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00030-012-0168-z

zbMATH Keywords

Brownian motiondifferential inclusionexposed solutionprobability measure

Mathematics Subject Classification ID

Ordinary differential inclusions (34A60) Brownian motion (60J65)

Review text

The authors study solutions to differential inclusions with a (compact convex)-valued right-hand side in a finite-dimensional space by involving a new stochastic approach based on the properties of the Brownian paths. In the paper two main results are presented. The first one is the existence theorem for an exposed solution in the two-dimensional case under a Hölder hypothesis on the right-hand side, while the other is obtained in some particular case and is based on the construction of a ``canonical probability measure supported on the solution set of the convexified inclusion such that almost each solution (with respect to this measure) is exposed.

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Cited in

(6)

• On integral equations arising in the first-passage problem for Brownian motion
• Extremal solutions of differential inclusions via Baire category: a dual approach
• On A Brownian Motion Problem of T. Salisbury
• scientific article; zbMATH DE number 2050987 (Why is no real title available?)
• Random extremal solutions of differential inclusions
• On stochastic subdifferential systems driven by standard Brownian motion

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