# Some applications of Girsanov's theorem to the theory of stochastic differential inclusions

Discussiones Mathematicae, Differential Inclusions, Control and Optimization (2003)

- Volume: 23, Issue: 1, page 21-29
- ISSN: 1509-9407

## Access Full Article

top## Abstract

top## How to cite

topMicha Kisielewicz. "Some applications of Girsanov's theorem to the theory of stochastic differential inclusions." Discussiones Mathematicae, Differential Inclusions, Control and Optimization 23.1 (2003): 21-29. <http://eudml.org/doc/271455>.

@article{MichaKisielewicz2003,

abstract = {The Girsanov's theorem is useful as well in the general theory of stochastic analysis as well in its applications. We show here that it can be also applied to the theory of stochastic differential inclusions. In particular, we obtain some special properties of sets of weak solutions to some type of these inclusions.},

author = {Micha Kisielewicz},

journal = {Discussiones Mathematicae, Differential Inclusions, Control and Optimization},

keywords = {stochastic process; Girsanov’s theorem; stochastic differential inclusion; weak solution; Brownian motion; existence theorem; convexity},

language = {eng},

number = {1},

pages = {21-29},

title = {Some applications of Girsanov's theorem to the theory of stochastic differential inclusions},

url = {http://eudml.org/doc/271455},

volume = {23},

year = {2003},

}

TY - JOUR

AU - Micha Kisielewicz

TI - Some applications of Girsanov's theorem to the theory of stochastic differential inclusions

JO - Discussiones Mathematicae, Differential Inclusions, Control and Optimization

PY - 2003

VL - 23

IS - 1

SP - 21

EP - 29

AB - The Girsanov's theorem is useful as well in the general theory of stochastic analysis as well in its applications. We show here that it can be also applied to the theory of stochastic differential inclusions. In particular, we obtain some special properties of sets of weak solutions to some type of these inclusions.

LA - eng

KW - stochastic process; Girsanov’s theorem; stochastic differential inclusion; weak solution; Brownian motion; existence theorem; convexity

UR - http://eudml.org/doc/271455

ER -

## References

top- [1] F. Hiai, Multivalued stochastic integrals and stochastic inclusions, not published.
- [2] M. Kisielewicz, Set-valued stochastic integral and stochastic inclusions, Stoch. Anal. Appl. 15 (5) (1997), 783-800. Zbl0891.93070
- [3] M. Kisielewicz, Differential Inclusions and Optimal Control, Kluwer Acad. Publ. Dordrecht, Boston, London 1991. Zbl0731.49001
- [4] B. Øksendal, Stochastic Differential Equations, Springer Verlag, Berlin, Heildelberg 1998.
- [5] Ph. Proter, Stochastic Integration and Differential Equations, Springer Verlag, Berlin, Heidelberg 1990.

## NotesEmbed ?

topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.