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Bulletin of the Korean Mathematical Society
Article . 2003 . Peer-reviewed
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THE BOUNDEDNESS OF SOLUTIONS FOR STOCHASTIC DIFFERENTIAL INCLUSIONS

The boundedness of solutions for stochastic differential inclusions
Authors: Yun, Yong Sik;

THE BOUNDEDNESS OF SOLUTIONS FOR STOCHASTIC DIFFERENTIAL INCLUSIONS

Abstract

Let \((\Omega,{\mathcal F},P)\) be a complete probability with a right-continuous increasing family \(({\mathcal F_t})_{t\geq 0}\) of \(\sigma\)-fields each containing all \(P\)-nul sets. Let \(B= (B_t)_{t\geq 0}\) be an \(r\)-dimensional \(({\mathcal F}_t)\)-Brownian motion. The author considers the following stochastic differential inclusion \[ dX_t\in \sigma(t, X_t)\, dB_t+ b(t, X_t)\,dt,\tag{1} \] where \(\sigma: [0,T]\times \mathbb{R}^d\to P(\mathbb{R}^d\otimes \mathbb{R}^d)\), \(b:[0,T]\times \mathbb{R}^d\to P(\mathbb{R}^d)\) are set-valued maps. The study of the existence and properties of solutions of these stochastic differential inclusions have been developed by \textit{N. V. Ahmed} (1994), \textit{A. A. Levakov} [Differ. Equations 34, No. 2, 208--214 (1998; Zbl 1026.60505)] and others. Also the results for the viable solutions have been made by \textit{J.-P. Aubin} and \textit{G. Da Prato} [ Stochastic Anal. Appl. 16, No. 1, 1--15 (1998; Zbl 0931.60059) and \textit{B. Truong-Van} and \textit{X. D. H. Truong} [ibid. 17, No. 4, 667--685 (1999; Zbl 0952.60055)]. For the stochastic differential equation associated with (1), the results for the existence, uniqueness and properties of solutions have been done under various conditions that \(\sigma\) and \(b\) are continuous and bounded or Lipschitzian or Hölder continuous [see \textit{N. Ikeda} and \textit{S. Watanabe}, ``Stochastic differential equations and diffusion processes'' (1981; Zbl 0495.60005)]. The author proves the existence of solution for stochastic differential inclusion (1) under the condition that \(\sigma\) and \(b\) satisfy the local Lipschitz property and linear growth [see \textit{Y. S. Yun} and \textit{I. Shigekawa}, Far East J. Math. Sci. (FJMS) 7, No. 2, 205--212 (2002; Zbl 1029.60009)]). In this note the author proves that any solution for the stochastic differential inclusion (1) is bounded. In the second part of the paper, ``Preliminaries'', the author prepares the definition of solution of stochastic differential equation and selection theorems. The last part ``Main results'' contains the most famous continuous selection theorem [\textit{J.-P. Aubin} and \textit{A. Cellina}, ``Differential inclusions: Set-valued maps and viability theory'' (1984; Zbl 0538.34007)]: Let \(X\) be a metric space, \(Y\) a Banach space. Let \(F\) from \(X\) into the closed subsets of \(Y\) be lower semicontinuous. Then there exists \(f: X\to Y\), a continuous selection from \(F\).

Keywords

stochastic differential inclusion, Geometric probability and stochastic geometry, Brownian motion

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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