Set-valued assessments of solutions to stochastic differential equations with random set parameters

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:400

Article

Schmelzer, Bernhard

关键词: Stochastic differential equation;    Random set;    Parameter uncertainty;    Set-valued stochastic process;    Set-valued set function;    Parameterized probability measures;   

DOI  :  10.1016/j.jmaa.2012.11.019

来源: Elsevier

【 摘 要 】

We consider stochastic differential equations depending on parameters whose uncertainty is modeled by random compact sets. Several approaches are discussed how to construct set-valued stochastic processes from the solutions. The induced lower and upper probabilities are compared to a set-valued set function and a set of probability measures constructed from the distributions of the solutions and the selections of the random set. (C) 2012 Elsevier Inc. All rights reserved.

【 授权许可】

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