THE CLOSED PROPERTY OF SET OF SOLUTIONS FOR STOCHASTIC DIFFERENTIAL INCLUSIONS

Title & Authors
THE CLOSED PROPERTY OF SET OF SOLUTIONS FOR STOCHASTIC DIFFERENTIAL INCLUSIONS
YUN, YONG-SIK;

Abstract
We consider the stochastic differential inclusion of the form $\small{dX_t{\in}{\sigma}(t, X_t)dB_t+b(t, X_t)dt}$, where $\small{{\sigma}}$, b are set-valued maps, B is a standard Brownian motion. We prove that the set of solutions is closed.
Keywords
stochastic differential inclusion;Brownian motion;
Language
English
Cited by
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