Approximate Solutions of Set-Valued Stochastic Differential Equations
نویسندگان
چکیده
In this paper, we consider the problem of approximate solutions of set-valued stochastic differential equations. We firstly prove an inequality of set-valued Itô integrals, which is related to classical Itô isometry, and an inequality of set-valued Lebesgue integrals. Both of the inequalities play an important role to discuss set-valued stochastic differential equations. Then we mainly state the Carathodory’s approximate method and the Euler-Maruyama’s approximate method for set-valued stochastic differential equations. We also investigate the errors between approximate solutions and accurate solutions. c ©2013 World Academic Press, UK. All rights reserved.
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