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On the solutions of set-valued Stochastic differential equations in M-type 2 Banach spaces
Jinping Zhang, Shoumei Li, Itaru Mitoma, and Yoshiaki Okazaki
Source: Tohoku Math. J. (2) Volume 61, Number 3 (2009), 417-440.
Abstract
In a certain Banach space called an M-type 2 Banach space (including Hilbert spaces), we consider a set-valued stochastic differential equation with a set-valued drift term and a single valued diffusion term, under the Lipschitz continuity conditions, and we prove the existence and uniqueness of strong solutions which are continuous in the Hausdorff distance.
Primary Subjects: 65C30
Secondary Subjects: 26E25, 54C65
Keywords: M-type 2 Banach space; integrals of set-valued stochastic processes; set-valued stochastic differential equation
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.tmj/1255700202
Digital Object Identifier: doi:10.2748/tmj/1255700202
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