Well-posedness of Stratonovich multi-valued SDEs driven by semimartingales

作者：Wu; Jing

来源：Stochastics and Dynamics, 2014, 14(4): 1450005.

DOI：10.1142/S0219493714500051

• Multi-valued SDE
• Stratonovich
• semimartingales
• random time change
• existence
• uniqueness

In this paper we consider Stratonovich type multi-valued stochastic differential equations (MSDEs) driven by general semimartingales. Based on an existence and uniqueness result for MSDEs with respect to continuous semimartingales, we apply the random time change and approximation technique to prove existence and uniqueness of solutions to Stratonovich type multi-valued SDEs driven by general semimartingales with summable jumps.

• 出版日期2014-12
• 单位中山大学