THE BOUNDEDNESS OF SOLUTIONS FOR STOCHASTIC DIFFERENTIAL INCLUSIONS

Title & Authors
THE BOUNDEDNESS 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 the boundedness of solutions under the assumption that $\small{\sigma}$ and b satisfy the local Lipschitz property and linear growth.
Keywords
stochastic differential inclusion;Brownian motion;
Language
English
Cited by
1.
THE CLOSED PROPERTY OF SET OF SOLUTIONS FOR STOCHASTIC DIFFERENTIAL INCLUSIONS,;

대한수학회논문집, 2005. vol.20. 1, pp.135-144
1.
Construction of peculiar diffusion process having Gaussian marginals, Communications in Statistics - Theory and Methods, 2016, 45, 15, 4509
References
1.
Sto-chastic Anal. Appl., 1994. vol.12. 1, pp.1-10

2.
Differential Inclusions, 1984.

3.
Stochastic Anal. Appl., 1998. vol.16. 1, pp.1-15

4.
Stochastic differential equations and diffusion prosesses, 1981.

5.
Differ. Uravn., 1998. vol.34. 2, pp.204-210

6.
Far East J. Math. Sci., 0000.

7.
Stochastic Anal. Appl., 1999. vol.17. 4, pp.667-685