Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
751890 | Systems & Control Letters | 2014 | 10 Pages |
Abstract
This paper deals with a class of fuzzy stochastic differential equations (FSDEs) driven by a continuous local martingale under the Lipschitzian condition. Such equations can be useful in modeling hybrid systems, where the phenomena are simultaneously subjected to two kinds of uncertainties: randomness and fuzziness. The solutions of the FSDEs are the fuzzy stochastic processes, and their uniqueness is considered to be in a strong sense. Thus, the existence and uniqueness of solutions to the FSDEs under the Lipschitzian condition is first proven. Moreover, some asymptotic properties of the solutions to the FSDEs are investigated. Finally, an illustrating example on the interest term model is provided.
Related Topics
Physical Sciences and Engineering
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Control and Systems Engineering
Authors
Weiyin Fei, Hongjian Liu, Wei Zhang,