On existence, uniqueness and convergence of multi-valued stochastic differential equations driven by continuous semimartingales

被引：2

作者：

Ren JiaGang ^{[1
]}

Wu Jing ^{[1
]}

Zhang Hua ^{[1
]}

机构：

[1] Sun Yat Sen Univ, Sch Math & Computat Sci, Guangzhou 510275, Guangdong, Peoples R China

来源：

SCIENCE CHINA-MATHEMATICS | 2014年 / 57卷 / 03期

基金：

中国博士后科学基金; 中国国家自然科学基金;

关键词：

multi-valued stochastic differential equation; semimartingale; existence; uniqueness; convergence; SKOROHOD PROBLEM;

D O I：

10.1007/s11425-013-4627-8

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we study the existence and uniqueness of solutions of multi-valued stochastic differential equations driven by continuous semimartingales when the coefficients are stochastically Lipschitz continuous. We also show the convergence results when the random coefficients or the differentials converge.

引用

页码：589 / 607

页数：19

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