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Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity
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  • Published: 31 January 2008

Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity

  • Rami Atar1,
  • Amarjit Budhiraja2 &
  • Kavita Ramanan3 

Probability Theory and Related Fields volume 142, pages 249–283 (2008)Cite this article

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  • 8 Citations

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Abstract

We consider a class of deterministic and stochastic dynamical systems with discontinuous drift f and solutions that are constrained to live in a given closed domain G in \({\mathbb{R}}^{n}\) according to a constraint vector field D(·) specified on the boundary \(\partial G\) of the domain. Specifically, we consider equations of the form \(\phi = \theta + \eta + u , \quad \dot{\theta}(t) \in F(\phi(t)), \quad \mbox{a.e. } t\) for u in an appropriate class of functions, where η is the “constraining term” in the Skorokhod problem specified by (G, D) and F is the set-valued upper semicontinuous envelope of f. The case \(G ={\mathbb{R}}^{n}\) (when there is no constraining mechanism) and u is absolutely continuous corresponds to the well known setting of differential inclusions (DI). We provide a general sufficient condition for uniqueness of solutions and Lipschitz continuity of the solution map, in the form of existence of a Lyapunov set. Here we assume (i) G is convex and admits the representation \(G=\cup_i\overline{C_i}\) , where \(\{C_i,i\in {\mathbb{I}}\}\) is a finite collection of disjoint, open, convex, polyhedral cones in \({\mathbb{R}}^{n}\) , each having its vertex at the origin; (ii) f =  b +  f c is a vector field defined on G such that b assumes a constant value on each of the given cones and f c is Lipschitz continuous on G; and (iii) D is an upper semicontinuous, cone-valued vector field that is constant on each face of ∂G. We also provide existence results under much weaker conditions (where no Lyapunov set condition is imposed). For stochastic differential equations (SDE) (possibly, reflected) that have drift coefficient f and a Lipschitz continuous (possibly degenerate) diffusion coefficient, we establish strong existence and pathwise uniqueness under appropriate conditions. Our approach yields new existence and uniqueness results for both DI and SDE even in the case \(G = {\mathbb{R}}^{n}.\) The work has applications in the study of scaling limits of stochastic networks.

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Author information

Authors and Affiliations

  1. Department of Electrical Engineering, Technion, Haifa, 32000, Israel

    Rami Atar

  2. Department of Statistics and Operations Research, University of North Carolina, Chapel Hill, NC, 27599, USA

    Amarjit Budhiraja

  3. Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA, 15213, USA

    Kavita Ramanan

Authors
  1. Rami Atar
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  2. Amarjit Budhiraja
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  3. Kavita Ramanan
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Corresponding author

Correspondence to Amarjit Budhiraja.

Additional information

R. Atar was partially supported by the Israel Science Foundation (grant 126/02), the NSF (grant DMS-0600206), and the fund for promotion of research at the Technion.

A. Budhiraja was partially supported by the ARO (grants W911NF-04-1-0230,W911NF-0-1-0080).

K. Ramanan was partially Supported by the NSF (grants DMS-0406191, DMI-0323668-0000000965, DMS-0405343).

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Atar, R., Budhiraja, A. & Ramanan, K. Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity. Probab. Theory Relat. Fields 142, 249–283 (2008). https://doi.org/10.1007/s00440-007-0104-z

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  • Received: 07 December 2006

  • Revised: 04 September 2007

  • Published: 31 January 2008

  • Issue Date: September 2008

  • DOI: https://doi.org/10.1007/s00440-007-0104-z

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Keywords

  • Discontinous drift
  • Ordinary differential equations
  • Differential inclusions
  • Stochastic differential equations
  • Stochastic differential inclusions
  • Reflected diffusions
  • Skorokhod map
  • Skorokhod problem

Mathematics Subject Classifications (2000)

  • Primary: 34A60
  • 60H10
  • Secondary: 60J60
  • 34F05
  • 34A36
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