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In this paper, we shall firstly illustrate why we should introduce the Itô type set-valued stochastic differential equation. Then we shall recall the Lebesgue integral of a set-valued stochastic process with respect to the time t and discuss its some properties. We shall also obtain the theorem of existence and uniqueness of solution of Itô type set-valued stochastic differential equation. © 2008 Springer-Verlag Berlin Heidelberg.
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