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Existence of viable solutions for a nonconvex stochastic differential inclusion

Benoit Truong-VanTruong Xuan Duc Ha — 1997

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

For the stochastic viability problem of the form dx(t) ∈ F(t,x(t))dt+g(t,x(t))dW(t), x(t) ∈ K(t), where K, F are set-valued maps which may have nonconvex values, g is a single-valued function, we establish the existence of solutions under the assumption that F and g possess Lipschitz property and satisfy some tangential conditions.

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