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Strong Solution of Set-Valued Stochastic Differential Equation

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Soft Methods for Handling Variability and Imprecision

Part of the book series: Advances in Soft Computing ((AINSC,volume 48))

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Abstract

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.

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Authors and Affiliations

  1. Department of Applied Mathematics, Beijing University of Technology, Beijing, P.R. China

    Jungang Li & Shoumei Li

Authors
  1. Jungang Li
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  2. Shoumei Li
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Editor information

Editors and Affiliations

  1. Université Paul Sabatier, Toulouse, France

    Didier Dubois  & Henri Prade  & 

  2. Universidad de Oviedo, Spain

    M. Asunción Lubiano  & María Ángeles Gil  & 

  3. Polish Academy of Sciences, Warsaw, Poland

    Przemysław Grzegorzewski

  4. Polish Academy of Sciences,, Warsaw, Poland

    Olgierd Hryniewicz

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© 2008 Springer-Verlag Berlin Heidelberg

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Li, J., Li, S. (2008). Strong Solution of Set-Valued Stochastic Differential Equation. 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_33

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  • DOI: https://doi.org/10.1007/978-3-540-85027-4_33

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-85026-7

  • Online ISBN: 978-3-540-85027-4

  • eBook Packages: EngineeringEngineering (R0)

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