Approximate solutions of set-valued stochastic differential equations - 文章详情页

作者：

Zhang, J. (Zhang, J..) | Li, S. (Li, S..)

收录：

Scopus

摘要：

In　this　paper,　we　consider　the　problem　of　approximate　solutions　of　set-valued　stochastic　difierential　equations.　We　firstly　prove　an　inequality　of　set-valued　Itô　integrals,　which　is　related　to　classical　Itô　isometry,　and　an　inequality　of　set-valued　Lebesgue　integrals.　Both　of　the　inequalities　play　an　important　role　todiscuss　set-valued　stochastic　differential　equations.　Then　we　mainly　state　the　Carathodory＇s　approximate　method　and　the　Euler-Maruyama＇s　approximate　method　for　set-valued　stochastic　differential　equations.　We　also　investigate　the　errors　between　approximate　solutions　and　accurate　solutions.　©　2013　World　Academic　Press,　UK.　All　rights　reserved.

关键词：

Set-valued random variables; Set-valued stochastic differential equations; Set-valued stochastic processes; The carathodory's approximate solutions; The euler-maruyama's approximate solutions

作者机构：

[ 1 ] [Zhang, J.]College of Applied Sciences, Beijing University of Technology, China
[ 2 ] [Li, S.]College of Applied Sciences, Beijing University of Technology, China

通讯作者信息：

[Li, S.]College of Applied Sciences, Beijing University of TechnologyChina

电子邮件地址：

lisma@bjut.edu.cn

查看成果更多字段

成果类型
所属机构

所有年份指定年份从至