Abstract
The paper is devoted to a brief introduction into the theory of equations and inclusions with mean derivatives and to investigation of a special type of such inclusions called inclusions of geometric Brownian motion type. The existence of optimal solutions maximizing some cost criteria, is proved.
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The research is supported in part by RFBR Grant 12-01-00183.
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Gliklikh, Y.E., Zheltikova, O.O. Stochastic Equations and Inclusions with Mean Derivatives and Some Applications. Methodol Comput Appl Probab 17, 91–105 (2015). https://doi.org/10.1007/s11009-013-9373-4
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DOI: https://doi.org/10.1007/s11009-013-9373-4