Multivalued Monotone Stochastic Differential Equations with Jumps
Probability
2016-04-26 v2
Abstract
We study multivalued stochastic differential equations (MSDEs) with maximal monotone operators driven by semimartingales with jumps. We discuss in detail some methods of approximation of solutions of MSDEs based on discretization of processes and Yosida approximation of the monotone operator. We also study the general problem of stability of solutions of MSDEs with respect to the convergence of driving semimartingales.
Keywords
Cite
@article{arxiv.1401.3681,
title = {Multivalued Monotone Stochastic Differential Equations with Jumps},
author = {Lucian Maticiuc and Aurel Rascanu and Leszek Slominski},
journal= {arXiv preprint arXiv:1401.3681},
year = {2016}
}