Stochastic Equations and Inclusions with Mean Derivatives and Some Applications

Yuri E. Gliklikh () and Olga O. Zheltikova ()
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Yuri E. Gliklikh: Voronezh State University
Olga O. Zheltikova: Voronezh State University

Methodology and Computing in Applied Probability, 2015, vol. 17, issue 1, 91-105

Abstract: 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.

Keywords: Mean derivatives; Stochastic differential inclusions; Optimal solution; 60H10; 60H30; 60K30 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11009-013-9373-4

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