Abstract
We define stochastic differential equations with fuzzy set coefficients and prove that their solutions are random fuzzy set processes. This is achieved by obtaining almost sure boundedness of solutions to stochastic differential equations with set coefficients. An example for Black-Scholes market model with expected return ratio being a fuzzy set is also given.
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Ogura, Y. (2008). On Stochastic Differential Equations with Fuzzy Set Coefficients. In: Dubois, D., Lubiano, M.A., Prade, H., Gil, M.Á., Grzegorzewski, P., Hryniewicz, O. (eds) Soft Methods for Handling Variability and Imprecision. Advances in Soft Computing, vol 48. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-85027-4_32
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DOI: https://doi.org/10.1007/978-3-540-85027-4_32
Publisher Name: Springer, Berlin, Heidelberg
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