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Georgian Mathematical Journal

Editor-in-Chief: Kiguradze, Ivan / Buchukuri, T.

Editorial Board: Kvinikadze, M. / Bantsuri, R. / Baues, Hans-Joachim / Besov, O.V. / Bojarski, B. / Duduchava, R. / Engelbert, Hans-Jürgen / Gamkrelidze, R. / Gubeladze, J. / Hirzebruch, F. / Inassaridze, Hvedri / Jibladze, M. / Kadeishvili, T. / Kegel, Otto H. / Kharazishvili, Alexander / Kharibegashvili, S. / Khmaladze, E. / Kiguradze, Tariel / Kokilashvili, V. / Krushkal, S. I. / Kurzweil, J. / Kwapien, S. / Lerche, Hans Rudolf / Mawhin, Jean / Ricci, P.E. / Tarieladze, V. / Triebel, Hans / Vakhania, N. / Zanolin, Fabio


IMPACT FACTOR 2018: 0.551

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1572-9176
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On multivalued stochastic integral equations driven by semimartingales

Marek T. MalinowskiORCID iD: http://orcid.org/0000-0002-3585-1265
Published Online: 2017-10-18 | DOI: https://doi.org/10.1515/gmj-2017-0042

Abstract

We consider multivalued stochastic integral equations driven by semimartingales. Such equations are formulated in two different forms, i.e., using multivalued stochastic up-trajectory and trajectory integrals, which are not equivalent. By the successive approximations method, we show the existence of a unique solution to each equation under a condition much weaker than the Lipschitz one. We indicate that the solutions are stable under small changes of the equation data. The results have immediate implications for solutions to single-valued stochastic integral equations driven by semimartingales.

Keywords: Multivalued stochastic integral equations; multivalued differential equations,multivalued mappings

MSC 2010: 93E03; 93C41; 60H20; 26E25

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About the article

Received: 2015-01-30

Revised: 2015-10-19

Accepted: 2016-04-11

Published Online: 2017-10-18


Citation Information: Georgian Mathematical Journal, ISSN (Online) 1572-9176, ISSN (Print) 1072-947X, DOI: https://doi.org/10.1515/gmj-2017-0042.

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