Properties of set-valued stochastic differential equations

Abstract

The paper is devoted to properties of set-valued stochastic differential equations. The main result of the paper deals with existence and uniqueness of solutions. Furthermore, a connection between solutions of stochastic differential inclusions and solutions of set-valued stochastic differential equations are given. The result of the paper extends a lot of particular results dealing with such type equations.

Keywords:

• Set-valued mapping
• set-valued integral
• set-valued stochastic process

AMS Subject Classifications:

• 60H05
• 28B20
• 47H04

Notes

No potential conflict of interest was reported by the authors.