Properties of set-valued stochastic differential equations

DOI10.1080/02331934.2016.1245304zbMATH Open1353.60054OpenAlexW2533427013MaRDI QIDQ2836096FDOQ2836096

Authors: Michał Kisielewicz, Mariusz Michta 

Publication date: 7 December 2016

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2016.1245304

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zbMATH Keywords

set-valued stochastic differential equationsstochastic differential inclusionsset-valued integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set-valued operators (47H04) Stochastic integrals (60H05) Stochastic analysis (60H99) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

Cites Work

• Integrals, conditional expectations, and martingales of multivalued functions
• Stochastic differential inclusions and applications.
• A calculus for set-valued maps and set-valued evolution equations
• On the solutions of set-valued stochastic differential equations in M-type 2 Banach spaces
• Set valued functions in Fréchet spaces: continuity, Hukuhara differentiability and applications to set differential equations
• On Set-Valued Stochastic Integrals
• Set-valued stochastic integral equations driven by martingales
• Set-valued and fuzzy stochastic differential equations driven by semimartingales
• The interrelation between stochastic differential inclusions and set-valued stochastic differential equations
• Remarks on unboundedness of set-valued Itô stochastic integrals
• Set-valued stochastic integrals and equations with respect to two-parameter martingales
• Continuity properties of solutions of multivalued equations with white noise perturbation

Cited In (17)

• Properties of solutions to stochastic set differential equations under non-Lipschitzian coefficients
• The interrelation between stochastic differential inclusions and set-valued stochastic differential equations
• Weak solutions of set-valued stochastic differential equations
• Stochastic set differential equations
• Set-valued Brownian motion
• A viability theorem for set-valued states in a Hilbert space
• Stochastic inclusions and set-valued stochastic equations driven by a two-parameter Wiener process
• A special type of set-valued stochastic functional differential equation
• Title not available (Why is that?)
• On connections between stochastic differential inclusions and set-valued stochastic differential equations driven by semimartingales
• Set-valued backward stochastic differential equations
• Properties of solution set of stochastic inclusions
• Viability for impulsive stochastic differential inclusions driven by fractional Brownian motion
• On set-valued stochastic equations and stochastic inclusions driven by a Brownian sheet
• Stochastic inclusions and set-valued stochastic equations with mixed integrals in the plane
• Properties of set-valued integrals and set-valued stochastic equations driven by two-parameter martingales
• Stochastic integrals and stochastic equations in set-valued and fuzzy-valued frameworks

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