ISSN:
1572-932X
Keywords:
stochastic invariance
;
viability
;
stochastic differential inclusions
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract The aim of this paper is to combine two ways for representing uncertainty through stochastic differential inclusions: a 'stochastic uncertainty", driven by a Wiener process, and a 'contingent uncertainty", driven by a set-valued map. The paper is also devoted to the invariance of closed under stochastic differential inclusions with a Lipschitz right-hand side, characterized in terms of stochastic tangent sets to closed subsets.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1008738928302
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