6533b7d9fe1ef96bd126c2c7

RESEARCH PRODUCT

Set-valued and fuzzy stochastic differential equations driven by semimartingales

Mariusz MichtaMariusz MichtaMarek T. MalinowskiJoanna Sobolewska

subject

Stratonovich integralApplied MathematicsMathematical analysisStochastic calculusStability (learning theory)Fuzzy logicSet (abstract data type)Stochastic partial differential equationStochastic differential equationSemimartingaleMathematics::ProbabilityApplied mathematicsAnalysisMathematics

description

Abstract In the paper we present set-valued and fuzzy stochastic integrals with respect to semimartingale integrators as well as their main properties. Then we study the existence of solutions to set-valued and fuzzy-set-valued stochastic differential equations driven by semimartingales. The stability of solutions is also established.

yearjournalcountryeditionlanguage
2013-03-01Nonlinear Analysis-Theory Methods & Applications
10.1016/j.na.2012.11.015http://www.sciencedirect.com/science/article/pii/S0362546X12004415