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