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Stochastic Invariance for Differential Inclusions (2000)

Aubin, Jean-Pierre ; Da Prato, Giuseppe ; Frankowska, Hélène

Springer

Set-valued analysis 8 (2000), S. 181-201

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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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