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WROCŁAW UNIVERSITY
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TECHNOLOGY

Contents of PMS, Vol. 17, Fasc. 1,
pages 29 - 45
 

EXISTENCE THEOREM AND WONG-ZAKAI APPROXIMATIONS FOR MULTIVALUED STOCHASTIC DIFFERENTIAL EQUATIONS

Roger Pettersson

Abstract: We consider finite-dimensional multivalued stochastic differential equations where the drift has a multivalued and monotone term. Existence and approximation results are obtained by an existence theorem for deterministic differential inclusions and a polygonal approximation of the Brownian motion. The dispersion matrix is assumed to be state space independent.

Applications are given for Coulomb damping and hysteretic systems.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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