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.
| Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:17847 |
| Date | 16 May 2008 |
| Creators | Bauwe, Anne, Grecksch, Wilfried |
| Publisher | Technische Universität Chemnitz |
| Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
| Language | English |
| Detected Language | English |
| Type | doc-type:conferenceObject, info:eu-repo/semantics/conferenceObject, doc-type:Text |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | urn:nbn:de:bsz:ch1-200800505, qucosa:18897 |
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