On existence,uniqueness and convergence of multi-valued stochastic differential equations driven by continuous semimartingales |
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| Authors: | JiaGang Ren Jing Wu Hua Zhang |
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| Affiliation: | 1. School of Mathematics and Computational Science, Sun Yat-sen University, Guangzhou, 510275, China
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| Abstract: | In this paper we study the existence and uniqueness of solutions of multi-valued stochastic differential equations driven by continuous semimartingales when the coefficients are stochastically Lipschitz continuous. We also show the convergence results when the random coefficients or the differentials converge. |
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