THE CLOSED PROPERTY OF SET OF SOLUTIONS FOR STOCHASTIC DIFFERENTIAL INCLUSIONS

THE CLOSED PROPERTY OF SET OF SOLUTIONS FOR STOCHASTIC DIFFERENTIAL INCLUSIONS

We consider the stochastic differential inclusion of the form $dX_t{\in}{\sigma}(t, X_t)dB_t+b(t, X_t)dt$, where ${\sigma}$, b are set-valued maps, B is a standard Brownian motion. We prove that the set of solutions is closed.

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Veröffentlicht in:Communications of the Korean Mathematical Society 2005, 20(1), , pp.135-144
1. Verfasser: YUN, YONG-SIK
Format: Artikel
Sprache:kor
Schlagworte:
수학
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Zusammenfassung:We consider the stochastic differential inclusion of the form $dX_t{\in}{\sigma}(t, X_t)dB_t+b(t, X_t)dt$, where ${\sigma}$, b are set-valued maps, B is a standard Brownian motion. We prove that the set of solutions is closed.
ISSN:1225-1763
2234-3024