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http://dx.doi.org/10.4134/JKMS.2005.42.1.153

ON FUZZY STOCHASTIC DIFFERENTIAL EQUATIONS  

KIM JAI HEUI (Department of Mathematics Pusan National University)
Publication Information
Journal of the Korean Mathematical Society / v.42, no.1, 2005 , pp. 153-169 More about this Journal
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
fuzzy martingale; fuzzy stochastic differential equation;
Citations & Related Records

Times Cited By Web Of Science : 5  (Related Records In Web of Science)
Times Cited By SCOPUS : 7
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