On multivalued stochastic integral equations driven by semimartingales
Authors:
- Marek T. Malinowski
Abstract
We consider multivalued stochastic integral equations driven by semimartingales. Such equations are formulated in two different forms, i.e., using multivalued stochastic up-trajectory and trajectory integrals, which are not equivalent. By the successive approximations method, we show the existence of a unique solution to each equation under a condition much weaker than the Lipschitz one. We indicate that the solutions are stable under small changes of the equation data. The results have immediate implications for solutions to single-valued stochastic integral equations driven by semimartingales.
- Record ID
- CUT6020bb8e09c448b9bbe7910eca615beb
- Publication categories
- ;
- Author
- Journal series
- Georgian Mathematical Journal, ISSN 1072-947X, e-ISSN 1572-9176
- Issue year
- 2019
- Vol
- 26
- No
- 3
- Pages
- 423-436
- Other elements of collation
- Bibliografia (na s.) - 435-436; Bibliografia (liczba pozycji) - 40; Oznaczenie streszczenia - Abstr.; Numeracja w czasopiśmie - Vol. 26, Iss. 3
- Keywords in English
- multivalued stochastic integral equations, multivalued differential equations, multivalued mappings
- DOI
- DOI:10.1515/gmj-2017-0042 Opening in a new tab
- URL
- https://www.degruyter.com/view/j/gmj.2019.26.issue-3/gmj-2017-0042/gmj-2017-0042.xml?format=INT Opening in a new tab
- Language
- eng (en) English
- Score (nominal)
- 40
- Additional fields
- Indeksowana w: Scopus
- Uniform Resource Identifier
- https://cris.pk.edu.pl/info/article/CUT6020bb8e09c448b9bbe7910eca615beb/
- URN
urn:pkr-prod:CUT6020bb8e09c448b9bbe7910eca615beb
* presented citation count is obtained through Internet information analysis, and it is close to the number calculated by the Publish or PerishOpening in a new tab system.