Weak solutions of stochastic differential inclusions and their compactness

Mariusz Michta

Discussiones Mathematicae, Differential Inclusions, Control and Optimization (2009)

  • Volume: 29, Issue: 1, page 91-106
  • ISSN: 1509-9407

Abstract

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In this paper, we consider weak solutions to stochastic inclusions driven by a semimartingale and a martingale problem formulated for such inclusions. Using this we analyze compactness of the set of solutions. The paper extends some earlier results known for stochastic differential inclusions driven by a diffusion process.

How to cite

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Mariusz Michta. "Weak solutions of stochastic differential inclusions and their compactness." Discussiones Mathematicae, Differential Inclusions, Control and Optimization 29.1 (2009): 91-106. <http://eudml.org/doc/271187>.

@article{MariuszMichta2009,
abstract = {In this paper, we consider weak solutions to stochastic inclusions driven by a semimartingale and a martingale problem formulated for such inclusions. Using this we analyze compactness of the set of solutions. The paper extends some earlier results known for stochastic differential inclusions driven by a diffusion process.},
author = {Mariusz Michta},
journal = {Discussiones Mathematicae, Differential Inclusions, Control and Optimization},
keywords = {semimartingale; stochastic differential inclusions; weak solutions; martingale problem; weak convergence of probability measures},
language = {eng},
number = {1},
pages = {91-106},
title = {Weak solutions of stochastic differential inclusions and their compactness},
url = {http://eudml.org/doc/271187},
volume = {29},
year = {2009},
}

TY - JOUR
AU - Mariusz Michta
TI - Weak solutions of stochastic differential inclusions and their compactness
JO - Discussiones Mathematicae, Differential Inclusions, Control and Optimization
PY - 2009
VL - 29
IS - 1
SP - 91
EP - 106
AB - In this paper, we consider weak solutions to stochastic inclusions driven by a semimartingale and a martingale problem formulated for such inclusions. Using this we analyze compactness of the set of solutions. The paper extends some earlier results known for stochastic differential inclusions driven by a diffusion process.
LA - eng
KW - semimartingale; stochastic differential inclusions; weak solutions; martingale problem; weak convergence of probability measures
UR - http://eudml.org/doc/271187
ER -

References

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