Skip to main content
Log in

Stochastic Retarded Inclusion with Carathéodory-upper Separated Multifunctions

  • Published:
Set-Valued and Variational Analysis Aims and scope Submit manuscript

Abstract

Let \({\mathcal {S}}\) be a measurable space and X a Banach space. We consider the class of Carathéodory upper separated set-valued functions \(F:{\mathcal {S}}\times X \rightarrow 2^{R^{n}}\) and investigate the problem of the existence of strong solutions to time dependent stochastic retarded inclusions with such set-valued drift and diffusion terms.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Similar content being viewed by others

References

  1. Aubin, J.P., Frankowska, H.: Set-Valued Analysis. Birkhäuser, Boston (1990)

    MATH  Google Scholar 

  2. Balasubramaniam, P.: Controllability for partial neutral functional stochastic integrodifferential inclusions with unbounded delay. Trends Math. Inf. Cent. Math. Sci. 9(2), 1–7 (2006)

    Google Scholar 

  3. Balasubramaniam, P., Ntouyas, S.K., Vinayagam, D.: Existence of solutions of semilinear stochastic delay evolution inclusions in a Hilbert space. J. Math. Anal. Appl. 305(2), 438–451 (2005)

    Article  MathSciNet  MATH  Google Scholar 

  4. Bismut, J.M.: Conjugate Convex Functions in Optimal Stochastic Control. J. Math. Anal. Appl. 44, 384–4-4 (1973)

    Article  MathSciNet  Google Scholar 

  5. Bot, R.I., Grad, S.M., Wanka, G.: New constraint qualification and conjugate duality for composed convex optimization problems. J. Optim. Theory Appl. 135, 241–255 (2007)

    Article  MathSciNet  MATH  Google Scholar 

  6. Castaing, C., Valadier, M.: Convex analysis and measurable multifunctions. Lect. Notes Math., 580 (1977)

  7. Halidias, N., Michta, M.: The method of upper and lower solutions of stochastic differential equations and applications. Stoch. Anal. Appl. 26, 116–28 (2008)

    MathSciNet  MATH  Google Scholar 

  8. Hiai, F., Umegaki, H.: Integrals, conditional expectations, and martingales of multivalued functions. J. Multivar. Anal. 7, 149–182 (1977)

    Article  MathSciNet  MATH  Google Scholar 

  9. Holmes, R.B.: Geometric Functional Analysis Integrals. Springer Verlag (1975)

  10. Ivanov, A., Kazmerchuk, Y., Swishchuk, A.: Theory, stochastic stability and applications of stochastic delay differential equations: a survey of results. Differ. Equ. Dynam. Syst. 11, 55–115 (2003)

    MathSciNet  MATH  Google Scholar 

  11. Jacod, J., Memin, J.: Weak and strong solutions of stochastic differential equations: Existence and stability. Lecture Notes in Mathematics 851, pp 169–212. Springer Verlag (1981)

  12. Kisielewicz, M., Michta, M., Motyl, J.: Set valued approach to stochastic control. Part I (Existence and regularity properties). Dyn. Syst. Appl. 12(3-4), 405–432 (2003)

    MathSciNet  MATH  Google Scholar 

  13. Kolmanovskii, V., Myshkis, A.: Applied Theory of Functional Differential Equations. Kluwer, Dordrecht Boston London (1992)

    Book  MATH  Google Scholar 

  14. Mao, X.: Stochastic Differential Equations and their Applications. Horwood, Chichester (1997)

    MATH  Google Scholar 

  15. Michta, M.: The Upper and Lower Solutions Method for Stochastic Inclusions with Discontinuous Multivalued maps. Stoch. Anal. Appl. 29, 1181–1200 (2008)

    Article  MathSciNet  MATH  Google Scholar 

  16. Michta, M., Motyl, J.: Locally Lipschitz selections in Banach lattices. Nonlinear Anal. 71, 2335–2342 (2009)

    Article  MathSciNet  MATH  Google Scholar 

  17. Mohammed, S.A.: Stochastic Differential Systems with memory: Theory, Examples and Applications. Stochastic Analysis Religion Topics VI Progress in Probability 42. Birkhäuser, Boston (1998)

    Google Scholar 

  18. Motyl, J.: Stochastic Itô inclusion with upper separated multifunctions. J. Math. Anal. Appl. 400, 505–509 (2013)

    Article  MathSciNet  MATH  Google Scholar 

  19. Motyl, J.: Carathéodory convex selections of set-valued functions in Banach lattices. Topol. Meth. Nonlin. Anal. 43(1), 1–10 (2014)

    Article  MathSciNet  Google Scholar 

  20. Oberman, A.M.: The convex envelope is the solution of a nonlinear obstacle problem. Proc. AMS 135(6), 1689–1694 (2007)

    Article  MathSciNet  MATH  Google Scholar 

  21. Oberman, A.M.: Convergent difference schemes for degenerate elliptic and parabolic equations: H-J equations and free boundary problem. Siam J. Numer. Anal. 44(2), 879–895 (2006)

    Article  MathSciNet  MATH  Google Scholar 

  22. Rockafellar, R.T.: Conjugate Convex Functions in Optimal Control and the Calculus of Variations. J. Math. Anal. Appl. 32, 174–222 (1970)

    Article  MathSciNet  MATH  Google Scholar 

  23. Schwarz, H.U.: Banach Lattices and Operators. Teubner-Texte zür Mathematik 71, Leipzig (1984)

  24. Tudor, C.: Optimal control for a class of nonlinear stochastic hereditary systems. J. Math. Anal. Appl. 144, 158–167 (1989)

    Article  MathSciNet  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Jerzy Motyl.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Motyl, J. Stochastic Retarded Inclusion with Carathéodory-upper Separated Multifunctions. Set-Valued Var. Anal 24, 191–205 (2016). https://doi.org/10.1007/s11228-015-0324-9

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11228-015-0324-9

Keywords

Mathematics Subject Classification (2010)

Navigation