High Order Stochastic Inclusions and Their Applications

DOI10.1081/SAP-200050129MaRDI QIDQ4678741zbMATH OpenFDO

Authors Mariusz Michta, Jerzy Motyl

Publication date 23 May 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

weak solutiondifferential inclusionstochastic inclusionasset pricesexistence of weak solutions

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03)

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• Nonlinear stochastic differential inclusions on balance space
• Optimal solutions to stochastic differential inclusions
• Pricing of Unit-linked Life Insurance Policies
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• Random integral equations with applications to life sciences and engineering
• STOCHASTIC INCLUSIONS WITH MULTIVALUED INTEGRATORS
• Set-valued analysis
• Set-valued stochastic intergrals and stochastic inclutions¹
• Stochastic Functional Inclusion Driven by Semimartingale
• Stochastic nagumo's viability theorem
• Stochastic oscillators
• The pricing of options and corporate liabilities
• The viability theorem for stochastic differential inclusions²

Cited in

(2)

• Second Order Stochastic Inclusion
• Compactness of solutions to second order stochastic dynamical systems

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