The existence and uniqueness results on solutions of set stochastic differential equation were studied in [1]. In this paper, we present the stability criteria for solutions of stochastic set differential equation.
In this paper, we shall firstly illustrate why we should introduce an It5 type set-valued stochastic differential equation and why we should notice the almost everywhere problem. Secondly we shall give a clear definit...In this paper, we shall firstly illustrate why we should introduce an It5 type set-valued stochastic differential equation and why we should notice the almost everywhere problem. Secondly we shall give a clear definition of Aumann type Lebesgue integral and prove the measurability of the Lebesgue integral of set-valued stochastic processes with respect to time t. Then we shall present some new properties, especially prove an important inequality of set-valued Lebesgue integrals. Finally we shall prove the existence and the uniqueness of a strong solution to the It5 type set-valued stochastic differential equation.展开更多
The solvability of a class of forward-backward stochastic differential differential equations(SDEs for short)over an arbitrarily prescribed time duration is studied. The authors design a stochastic relaxed control pro...The solvability of a class of forward-backward stochastic differential differential equations(SDEs for short)over an arbitrarily prescribed time duration is studied. The authors design a stochastic relaxed control problem, with both drift and diffusion all being controlled, so that the solvability problem is converted to a problem of finding the nodal set of the viscosity solution to a certain Hamilton-Jacobi-Bellman equation.This method overcomes the fatal difficulty encountered in the traditional contraction mapping approach to the existence theorem of such SDEs.展开更多
文摘The existence and uniqueness results on solutions of set stochastic differential equation were studied in [1]. In this paper, we present the stability criteria for solutions of stochastic set differential equation.
基金Supported by National Natural Science Foundation of China (Grant No. 10771010), PHR (IHLB), Research Fund of Beijing Educational Committee, ChinaGrant-in-Aid for Scientific Research 19540140, Japan
文摘In this paper, we shall firstly illustrate why we should introduce an It5 type set-valued stochastic differential equation and why we should notice the almost everywhere problem. Secondly we shall give a clear definition of Aumann type Lebesgue integral and prove the measurability of the Lebesgue integral of set-valued stochastic processes with respect to time t. Then we shall present some new properties, especially prove an important inequality of set-valued Lebesgue integrals. Finally we shall prove the existence and the uniqueness of a strong solution to the It5 type set-valued stochastic differential equation.
文摘The solvability of a class of forward-backward stochastic differential differential equations(SDEs for short)over an arbitrarily prescribed time duration is studied. The authors design a stochastic relaxed control problem, with both drift and diffusion all being controlled, so that the solvability problem is converted to a problem of finding the nodal set of the viscosity solution to a certain Hamilton-Jacobi-Bellman equation.This method overcomes the fatal difficulty encountered in the traditional contraction mapping approach to the existence theorem of such SDEs.
