We consider ordinary stochastic differential equations whose coefficients depend on parameters. Conditions are given under which modelling the parameter uncertainty by compact-valued random sets leads to set-valued stochastic processes. Finally, we define analogues of first entrance times for set-valued processes.
Keywords. Stochastic differential equation, random set, set-valued stochastic process, first entrance time.
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Technikerstraße 13, A-6020 Innsbruck, Austria
E-mail addresses:
| Bernhard Schmelzer | bernhard.schmelzer@uibk.ac.at |