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Explicit solutions for multivalued stochastic differential equations

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  • Xu, Siyan

Abstract

By solving an ordinary differential equation and a multivalued ordinary differential equation, we get the pathwise solution to a multivalued stochastic differential equation.

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  • Xu, Siyan, 2008. "Explicit solutions for multivalued stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2281-2292, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:15:p:2281-2292
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    Cited by:

    1. Xu, Siyan & Zheng, Mengqi, 2016. "A maximum principle for the stochastic variational inequalities," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 116-121.
    2. Jiagang Ren & Siyan Xu & Xicheng Zhang, 2010. "Large Deviations for Multivalued Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1142-1156, December.

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