Set-valued Ito's formula with an application to the general set-valued backward stochastic differential equation
Probability
2021-02-09 v1
Abstract
The overarching goal of this paper is to establish a set-valued It\^{o}'s formula. As an application, we obtain the existence and uniqueness of solutions for the general set-valued backward stochastic differential equation which gives an answer to an open question proposed by Ararat et al. (C. Ararat, J. Ma and W.Q. Wu, Set-valued backward stochastic differential equation, arXiv:2007.15073).
Keywords
Cite
@article{arxiv.2102.03712,
title = {Set-valued Ito's formula with an application to the general set-valued backward stochastic differential equation},
author = {Yao-jia Zhang and Zhun Gou and Nan-jing Huang},
journal= {arXiv preprint arXiv:2102.03712},
year = {2021}
}