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Finite dimensional stochastic differential inclusions

This paper offers an existence result for finite dimensional stochastic differential
inclusions with maximal monotone drift and diffusion terms. Kravets studied only
set-valued drifts in [5], whereas Motyl [4] additionally observed set-valued diffusions
in an infinite dimensional context.
In the proof we make use of the Yosida approximation of maximal monotone operators
to achieve stochastic differential equations which are solvable by a theorem
of Krylov and Rozovskij [7]. The selection property is verified with certain properties
of the considered set-valued maps. Concerning Lipschitz continuous set-valued
diffusion terms, uniqueness holds. At last two examples for application are given.

Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:17847
Date16 May 2008
CreatorsBauwe, Anne, Grecksch, Wilfried
PublisherTechnische Universität Chemnitz
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typedoc-type:conferenceObject, info:eu-repo/semantics/conferenceObject, doc-type:Text
Rightsinfo:eu-repo/semantics/openAccess
Relationurn:nbn:de:bsz:ch1-200800505, qucosa:18897

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