On existence, uniqueness and convergence of multi-valued stochastic differential equations driven by continuous semimartingales

DOI10.1007/S11425-013-4627-8zbMATH Open1309.60063OpenAlexW1989978036MaRDI QIDQ476744FDOQ476744

Authors Jing Wu, Hua Zhang, Jiagang Ren

Publication date 2 December 2014

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-013-4627-8

zbMATH Keywords

convergencesemimartingaleexistenceuniquenessmulti-valued stochastic differential equations

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monotone operators and generalizations (47H05) Stochastic analysis (60H99)

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Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
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• A transfer principle for multivalued stochastic differential equations
• Ergodicité d'inégalités variationnelles stochastiques
• Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations
• Large deviations for multivalued stochastic differential equations
• Multivalued Skorohod problem
• On regularity of invariant measures of multivalued stochastic differential equations
• On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations
• Skorohod problem and multivalued stochastic evolution equations in Banach spaces
• Stochastic differential equations with reflecting boundary conditions
• The Generator of the Transition Semigroup Corresponding to a Stochastic Variational Inequality

Cited in

(9)

• On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
• Existence results of solutions to stochastic differential equations driven by multi-parameter Brownian motions
• Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition
• The infinitesimal generator of Markov semigroup associated with multivalued stochastic differential equation
• On multivalued stochastic integral equations driven by semimartingales
• Large deviation for mean-field stochastic differential equations with subdifferential operator
• Well-posedness of Stratonovich multi-valued SDEs driven by semimartingales
• scientific article; zbMATH DE number 3846601 (Why is no real title available?)
• Stochastic averaging principles for multi-valued stochastic differential equations driven by Poisson point processes

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