Journal of the Korean Mathematical Society (대한수학회지)

Korean Mathematical Society (대한수학회)
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ON FUZZY STOCHASTIC DIFFERENTIAL EQUATIONS

  • KIM JAI HEUI (Department of Mathematics Pusan National University)
  • Published : 2005.01.01
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Abstract

A fuzzy stochastic differential equation contains a fuzzy valued diffusion term which is defined by stochastic integral of a fuzzy process with respect to 1-dimensional Brownian motion. We prove the existence and uniqueness of the solution for fuzzy stochastic differential equation under suitable Lipschitz condition. To do this we prove and use the maximal inequality for fuzzy stochastic integrals. The results are illustrated by an example.

Keywords

References

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