Set-valued Ito's formula with an application to the general set-valued backward stochastic differential equation

Yao-jia Zhang; Zhun Gou; Nan-jing Huang

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arXiv · 2102.03712

Set-valued Ito's formula with an application to the general set-valued backward stochastic differential equation

Yao-jia Zhang·Zhun Gou·Nan-jing Huang

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Abstract

The overarching goal of this paper is to establish a set-valued It\^{o}'s formula. As an application, we obtain the existence and uniqueness of solutions for the general set-valued backward stochastic differential equation which gives an answer to an open question proposed by Ararat et al. (C. Ararat, J. Ma and W.Q. Wu, Set-valued backward stochastic differential equation, arXiv:2007.15073).

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BibTeX RIS

Yao-jia Zhang, Zhun Gou, Nan-jing Huang. 2021-02-07. Set-valued Ito's formula with an application to the general set-valued backward stochastic differential equation. https://arxiv.org/abs/2102.03712

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