- AutorIn
- Anne Bauwe
- Wilfried Grecksch
- Titel
- Finite dimensional stochastic differential inclusions
- Zitierfähige Url:
- https://nbn-resolving.org/urn:nbn:de:bsz:ch1-200800515
- Quellenangabe
- Tagungsband zum Workshop "Stochastische Analysis", 20.09.2006 - 22.09.2006
- Abstract (EN)
- 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.
- Freie Schlagwörter
- Itô formula of the square
- Lipschitz continuous set-valued mapping
- Yosida approximation
- maximal monotone operator
- stochastic differential inclusion
- Klassifikation (DDC)
- 510
- Normschlagwörter (GND)
- Ito-Formel
- Stochastische Analysis
- Publizierende Institution
- Technische Universität Chemnitz, Chemnitz
- URN Qucosa
- urn:nbn:de:bsz:ch1-200800515
- Veröffentlichungsdatum Qucosa
- 16.05.2008
- Dokumenttyp
- Konferenzbeitrag
- Sprache des Dokumentes
- Englisch