Integration stochastique multivoque et inclusions differentielles stochastiques

DOI10.1080/17442500008834227MaRDI QIDQ4950737zbMATH OpenOpenAlexFDO

Authors A. Bouchen, Youssef Ouknine, Abdelkhalek El Arni

Publication date 29 March 2001

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500008834227

zbMATH Keywords

multivalued stochastic integralset-valued processstochastic differential inclusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Stochastic analysis (60H99)

Review text

Let \(h(t,\omega)\), \(t\geq 0\), \(\omega\in \Omega\), be a multivalued stochastic process, predictable and locally bounded and taking values on compact sets of the Euclidean space of \(d\times n\) real matrices. The authors define the stochastic integral \(\int_0^t h_s dX_s\) with respect to continuous semimartingale and show some properties of this integral. Further, they consider the problem of existence of solutions of stochastic differential inclusion \[ y_t\in \xi+ \int_0^t h(s,y_s) dM_s+ \int_0^t g(s,y_s) dA_s, \] where \(\xi\in L_{\mathbb{R}^d}^2 (\Omega,{\mathcal F}_0,P)\), \(h\) and \(g\) are Borel multifunctions, \(M\) is a continuous martingale and \(A\) is an increasing process.

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Cited in

(11)

• Multivalued stochastic integration and backward stochastic differential inclusions
• Stochastic Aumann integral
• Stochastic differential inclusions and applications.
• Set-valued and fuzzy stochastic integral equations driven by semimartingales under Osgood condition
• On multivalued stochastic integral equations driven by semimartingales
• Set valued Stratonovich integral and Stratonovich type stochastic inclusion
• Forms of inclusion between processes
• scientific article; zbMATH DE number 708767 (Why is no real title available?)
• Set-valued stochastic integrals and stochastic inclusions in a plane
• STOCHASTIC INCLUSIONS WITH MULTIVALUED INTEGRATORS
• A multiparameter stochastic integral and forward equations

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