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Paper detail

On a Set-Valued Young Integral with Applications to Differential Inclusions

We present a new Aumann-like integral for a Hölder multifunction with respect to a Hölder signal, based on the Young integral of a particular set of Hölder selections. This restricted Aumann integral has continuity properties that allow for numerical approximation as well as an existence theorem for an abstract stochastic differential inclusion. This is applied to concrete examples of first order and second order stochastic differential inclusions directed by fractional Brownian motion.

preprint2022arXivOpen access
Laure CoutinNicolas MariePaul Raynaud de Fitte
math.PR
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Laure CoutinNicolas MariePaul Raynaud de Fitte

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