Set-valued stochastic differential equation in M-type 2 Banach space
نویسندگان
چکیده
منابع مشابه
Set-valued Stochastic Differential Equation in M-type 2 Banach Space
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...
متن کاملSome Results on Set-valued Stochastic Integrals with Respect to Poisson Jump in an M-type 2 Banach Space
Probability theory is an important tool of modeling randomness in a practical problem. But besides randomness, in the real world, there exists other kind of uncertainties such as impreciseness or vagueness. Set-valued functions are employed to model the impreciseness in applied field such as in Economics, control theory (see for example [1]). Integrals of set-valued functions have been received...
متن کاملA Weak Stochastic Integral in Banach Space with Application to a Linear Stochastic Differential Equation*
Cylindrical Wiener processes in real separable Banach spaces are defined, and an approximation theorem involving scalar Wiener processes is given for such processes. A weak stochastic integral for Banach spaces involving a cylindrical Wiener process as integrator and an operator-valued stochastic process as integrand is defined. Basic properties of this integral are stated and proved. A class o...
متن کاملComplexity of Banach space valued and parametric stochastic Itô integration
We present a complexity analysis for strong approximation of Banach space valued and parameter dependent scalar stochastic Itô integration, driven by a Wiener process. Both definite and indefinite integration are considered. We analyze the Banach space valued version of the EulerMaruyama scheme. Based on these results, we define a multilevel algorithm for the parameter dependent stochastic inte...
متن کاملThe existence result of a fuzzy implicit integro-differential equation in semilinear Banach space
In this paper, the existence and uniqueness of the solution of a nonlinear fully fuzzy implicit integro-differential equation arising in the field of fluid mechanics is investigated. First, an equivalency lemma is presented by which the problem understudy is converted to the two different forms of integral equation depending on the kind of differentiability of the solution. Then...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2010
ISSN: 0973-9599
DOI: 10.31390/cosa.4.2.06