Return to search

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:bsz:ch1-200800515
Date16 May 2008
CreatorsBauwe, Anne, Grecksch, Wilfried
ContributorsTU Chemnitz, Fakultät für Mathematik
PublisherUniversitätsbibliothek Chemnitz
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typedoc-type:conferenceObject
Formatapplication/pdf, text/plain, application/zip
Relationdcterms:isPartOfhttp://nbn-resolving.de/urn:nbn:de:bsz:ch1-200800505

Page generated in 0.0021 seconds