Caratheodory’s approximate solutions to

stochastic fuzzy differential equations

1, 2, ∗
Le Si Dong and Ho Vu

Abstract :
Keywords :
2010 Mathematics Subject Classification:

1 Introduction
2 Basic denitions
In this section we present some basic denitions and important properties of measurable
multifunctions, fuzzy random variables, fuzzy stochastic integrals of Lebesgue-Aumann type
and Itô type, which we will need later on (see e.g. M.T. Malinowski, M. Michta [2, 3] and
references therein) .

3 Stochastic fuzzy differential equations case

In the paper [3], the authors considered the stochastic fuzzy differential equations as follows

dx(t) = f (t, x(t)) + hg(t, x(t))dB(t)i, x(0) = x0 , (3.1)

where f : [0, T ] × Ω × F(Rd ) → F(Rd ), g : [0, T ] × Ω × F(Rd ) → Rd and x0 : Ω → F(Rd ) is a

fuzzy random variable.

Definition 3.1. By a solution to (3.1) we mean a fuzzy stochastic process x : [0, T ] × Ω →

F(Rd ) such that

(i) x(t) ∈ L2 (Ω, At , P; F(Rd )) for every t ∈ [0, T ];

(ii) x : [0, T ] → L2 (Ω, A, P; F(Rd )) is a continuous mapping with respect to the metric δ2 ;

(iii) for every t ∈ [0, T ] it holds

Z t DZ t E
x(t) = x0 + f (s, x(s))ds + g(s, x(s))dB(s) , P − a.e. (3.2)
0 0
∗
Corresponding author: hovu@tdt.edu.vn

1
 In particular, they assume that f : [0, T ] × Ω × F(Rd ) → F(Rd ), f 6= θ̂ and g : [0, T ] ×
Ω × F(Rd ) → F(Rd ) satisfy:

(c1) the mapping f : [0, T ] × Ω × F(Rd ) → F(Rd ) is N ⊗ BdS |BdS -measurable and g :
[0, T ] × Ω × F(Rd ) → F(Rd ) is N ⊗ BdS |BRd -measurable;

(c2) there exists a constant L > 0 such that

δ2 (f (t, u), f (t, v)) ≤ Lδ2 (u, v),

(E||g(t, u) − g(t, v)||2 )1/2 = δ2 (hg(t, u)i, hg(t, v)i) ≤ Lδ2 (u, v)

for every t ∈ [0, T ], and every u, v ∈ F(Rd );

(c3) there exists a constant C > 0 for every t ∈ [0, T ], and every u ∈ F(Rd )

δ2 (f (t, u), θ̂) ≤ C(1 + δ2 (u, θ̂)),

(E||g(t, u)||2 )1/2 = δ2 (hg(t, u)i, θ̂) ≤ C(1 + δ2 (u, θ̂))

where θ̂ ∈ F(Rd ) is defined as θ̂ := h0i.

The authors ([3]) proved the existence and uniqueness theorems and the properties of the
solution for (3.1), where the coefficients f and g satisfy the conditions (c1) - (c3). They used
the Picard iteration procedure to establish the theorem on the existence and uniqueness of
the solutions. As the by-product, they also have the Picard approximate solution to the
equation, and Theorem 4.4 (see [3]) given an estimate of the difference, called the error,
between the approximate and the accurate solution.
In practice, we therefore seek the approximate solutions. We call constant  > 0 is error,
if the following inequality holds

E sup δ22 (xn (t), x(t)) < ,

t∈[0,T ]

where δ2 (xn (t), x(t)) represents the distance δ2 between the approximate solution xn (t) and
accurate solution x(t) to (3.1).
In the proof of the existence and uniqueness of solutions for stochastic fuzzy differential
equations, they use the Picard iterative in [3]. Hence, they can use it to find approximate
solution xn (t). But it has a disadvantage that for any t, for each n, one has to compute
all x0 (t), x1 (t), . . . , xn−1 (t) in order to compute xn (t), and it involves a lot of calculations.
More effcient ways are the Caratheodory’s and the EulerMaruyama’s approximate methods
because they do not need to compute all x0 (t), x1 (t), . . . , xn−1 (t) but compute x(t) directly
by using the results of previous calculations before t. Now, we will discuss them in the
following.
Let us give the definition of Caratheodory’s approximate solutions. For every integer
n ≥ 1, define xn (t) = x0 for t ∈ [−1, 0] and
Z t DZ t E
xn (t) = x0 + f (s, xn (s − 1/n))ds + g(s, xn (s − 1/n))dB(s) , P − a.e. (3.3)
0 0

2
for t ∈ [0, T ].
Note that for t ∈ (0, 1/n], xn (t) can be compute by
Z t DZ t E
xn (t) = x0 + f (s, x0 )ds + g(s, x0 )dB(s) ,
0 0

then for (1/n, 2/n],

Z t DZ t E
xn (t) = xn (1/n) + f (s, xn (s − 1/n))ds + g(s, xn (s − 1/n))dB(s) ,
0 0

and so on.
In other words, xn (t) can be computed step-by-step on the intervals (2/n, 3/n], (3/n, 4/n], . . .
Now, we prove the main results of this section.
Theorem 3.1. Assume that f, g satisfy the conditions (c1)-(c3), and x(t) is the unique
solution of (3.1). Then, for n ≥ 1,
C3
sup δ22 (xn (t), x(t)) ≤ ,
t∈[0,T ] n

where C3 = 4C2 LT (4 + T ) exp{4LT (4 + T )}, and C1 , C2 are defined as in Lemma 3.1, 3.2.
Before proving the theorem above, we need to prove the following two lemmas.
Lemma 3.1. Assume that (c2) holds, for n ≥ 1, we have

sup δ22 (xn (t), θ̂) ≤ C1 ,

t∈[0,T ]

where C1 = (1 + 3δ22 (x0 , θ̂)) exp{3CT (1 + T )}.

Proof. For t ∈ [0, T ] and fix n ≥ 1 arbitrarily, we have
Z t 
2 2 2
δ2 (xn (t), θ̂) ≤ 3δ2 (x0 , θ̂) + 3δ2 f (s, xn (s − 1/n))ds, θ̂
0
D Z t E 
2
+ 3δ2 g(s, xn (s − 1/n))dB(s) , θ̂ .
0

By virtue of Lemma ??, we infer that

Z t
δ22 (xn (t), θ̂) ≤ 3δ22 (x0 , θ̂) + 3t δ22 (f (s, xn (s − 1/n)), θ̂)ds
0
Z t
+3 δ22 (hg(s, xn (s − 1/n))i, θ̂)ds
0
Z t
≤ 3δ2 (x0 , θ̂) + 3C(1 + t) [1 + δ22 (xn (s − 1/n), θ̂)]ds
2

Z0 t
≤ 3δ22 (x0 , θ̂) + 3C(1 + T ) [1 + sup δ22 (xn (r), θ̂)]ds.
0 r∈[0,s]

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Consequently,
Z t
1 + sup δ22 (xn (r), θ̂) ≤1+ 3δ22 (x0 , θ̂) + 3C(1 + T ) [1 + sup δ22 (xn (r), θ̂)]ds.
r∈[0,t] 0 r∈[0,s]

Applying the Gronwall inequality we get, for every t ∈ [0, T ],

1 + sup δ22 (xn (r), θ̂) ≤ (1 + 3δ22 (x0 , θ̂)) exp{3Ct(1 + T )},
r∈[0,t]

and the assertion easily follows.

Lemma 3.2. Assume that (c2) holds, then for n ≥ 1 and 0 ≤ s < t ≤ T with t − s < 1, we
have

δ22 (xn (t), xn (s)) ≤ C2 (t − s),

where C2 = 4C(1 + C1 ) and C1 is defined in Lemma 3.1.

Proof. Let t ∈ [0, T ]. Note that we have

Z t Z s 
2 2
δ2 (xn (t), xn (s)) ≤ 2δ2 f (r, xn (r − 1/n))dr, f (r, xn (r − 1/n))dr
0 0
D Z t E DZ s E
2
+ 2δ2 g(r, xn (r − 1/n))dB(r) , g(r, xn (r − 1/n))dB(r)
0 0
Z t  D Z t E 
2 2
≤ 2δ2 f (r, xn (r − 1/n))dr, θ̂ + 2δ2 g(r, xn (r − 1/n))dB(r) , θ̂
s s
Z t Z t
2
≤ 2(t − s) δ2 (f (s, xn (s − 1/n)), θ̂)ds + 2 δ22 (hg(s, xn (s − 1/n))i, θ̂)ds
s s
Z t
≤ 2C(t − s + 1) [1 + δ22 (xn (s − 1/n), θ̂)]ds.
s

By Lemma 3.1 and assumptions, we obtain

Z t
δ22 (xn (t), xn (s)) ≤ 2C(t − s + 1) [1 + δ22 (xn (s − 1/n), θ̂)]ds
s
≤ 4C(1 + C1 )(t − s).

The proof is complete.

Proof of Theorem 3.1. Since for every t ∈ [0, T ],
 Z t DZ t E 
2 2
δ2 (xn (t), x(t)) = δ2 x0 + f (s, xn (s − 1/n))ds + g(s, xn (s − 1/n))dB(s) , x(t)
0 0

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By virtue of Lemma ??, we can write the following estimation for δ22 (xn (t), x(t)) :
Z t  D Z t E 
2 2 2
δ2 (xn (t), x(t)) ≤ 2δ2 f (s, xn (s − 1/n))ds, x(t) + 2δ2 g(s, xn (s − 1/n))dB(s) , x(t)
0 0
Z t
≤ 4L(4 + t) δ22 (xn (r − 1/n), x(r))dr
Z0 t  
≤ 4L(4 + T ) δ22 (xn (r − 1/n), xn (r)) + δ22 (xn (r), x(r)) dr
0

By Lemma 3.2, we have δ22 (xn (r − 1/n), xn (r)) ≤ C2 /n if r ≤ 1/n, otherwise 0 ≤ t < 1/n,
δ22 (xn (r − 1/n), xn (r)) = δ22 (xn (0), xn (r)) ≤ C2 /n. Hence, we get
Z t
2 4
sup δ2 (xn (r), x(r)) ≤ C2 LT (4 + T ) + 4L(4 + T ) sup δ22 (xn (r), x(r))dr.
r∈[0,t] n 0 r∈[0,s]

Applying the Gronwall inequality, we have

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sup δ22 (xn (r), x(r)) ≤ C2 LT (4 + T ) exp{4Lt(4 + T )}.
r∈[0,t] n

The proof is complete. 2

Now, we can make sure n, such that n is a integer larger than C3 / and then compute xn (t)
over the intervals [0, 1/n], (1/n, 2/n], (2/n, 3/n], . . ., step by step. Theorem 3.1 guarantee that
the approximate solution xn (t) is closed enough to the accurate solution x(t) in the sense

sup δ22 (xn (t), x(t)) < .

t∈[0,T ]

4 Stochastic fuzzy functional differential equations case

Let us consider the stochastic fuzzy functional differential equations as follows
(
dx(t) = f (t, x(t), xα(t) ) + hg(t, x(t), xα(t) )dB(t)i if t ≥ τ,
(4.4)
x(t) = ξ(t) if − τ ≤ t ≤ 0.

where x(t) is the valued of the fuzzy stochastic process x at the instant t, f : [0, T ]×Ω×Cτ,S ×
Cτ,S → F(Rd ), g : [0, T ] × Ω × Cτ,S × Cτ,S → Rd and the initial value ξ is an A0 -measurable,
Cτ,∞ -valued random variable such that EDτ,∞ (ξ, 0) < ∞ where 0 = h0i.
In the paper [2], the authors discussed the problem (4.4) in the case α(t) = t. In this
section, we will consider the problem (4.4) in general case.
2
We define the Caratheodory approximation solutions as follows: For each n > , we
τ
define xn (t) on [−τ, T ] by
xn (t) = ξ(t) for t ∈ [−τ, 0],

5
and
Z t Z t
n
xn (t) = ξ(0) + ITmc (s)f (s, x (s −1/n), xnα(s) )ds
+ ITm n
c (s)g(s, x (s − 1/n), x
n
α(s) )dB(s)
0 0
Z t Z t
n n
+ ITn (s)f (s, x (s − 1/n), xα(s)−1/n )ds + ITn (s)g(s, xn (s − 1/n), xnα(s)−1/n )dB(s),
0 0
(4.5)

for t ∈ [0, T ], where Tn = {t ∈ [0, T ] : α(t) < 1/n} and Tnc = [0, T ] − Tn .
It is important to note that each xn (t) can be determined explicitly by the stepwise
h 1i 1 2i 2 3i
iterated over the intervals 0, , , , , , and so on. Now, we need to prepare a few
n n n n n
lemmas in order to show the main results.

Conclusion
References
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