Set-valued Stochastic Differential Equation in M-type 2 Banach Space
نویسندگان
چکیده
Let (Ω,F , {Ft}, P ) be a complete probability space with filtration {Ft}, (X ,H, μ) an abstract Wiener space of M-type 2, and {Bt : t ≥ 0} an X -valued Brownian motion such that the distribution of the random function t−1/2Bt : Ω → X is μ for any t > 0. We consider the strong solutions to a set-valued stochastic differential equation with a set-valued drift and a single valued diffusion driven by dBt. Under some suitable conditions, the existence and uniqueness of strong solutions are obtained.
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تاریخ انتشار 2010