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Existence Theorems for Solutions to Set-Valued Stochastic Differential Equations and Applications

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Abstract:

In this paper, a class of new stochastic differential equations on semilinear Hausdorff space under Hukuhara derivative, called set-valued stochastic differential equations (SSDEs) driven by a Wiener process. Moreover, some corresponding properties of SSDEs are discussed such as existence, uniqueness of solution. Finaly, we give some applications to models of interval-valued stochastic differential equations such as stock prices model and the Langevin equation.

Info:

Periodical:
Bulletin of Mathematical Sciences and Applications (Volume 1)
Pages:
1-15
DOI:
10.18052/www.scipress.com/BMSA.1.1
Citation:
V. Ho and V. H. Ngo, "Existence Theorems for Solutions to Set-Valued Stochastic Differential Equations and Applications", Bulletin of Mathematical Sciences and Applications, Vol. 1, pp. 1-15, 2012
Online since:
Aug 2012
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