Optimal solutions to stochastic differential inclusions

@article{MariuszMichta2002,
abstract = {A martingale problem approach is used first to analyze compactness and continuous dependence of the solution set to stochastic differential inclusions of Ito type with convex integrands on the initial distributions. Next the problem of existence of optimal weak solutions to such inclusions and their dependence on the initial distributions is investigated.},
author = {Mariusz Michta},
journal = {Applicationes Mathematicae},
keywords = {Stochastic differential inclusion; local martingale problem; optimal weak solutions; existence theorem; extremal problem},
language = {eng},
number = {4},
pages = {387-398},
title = {Optimal solutions to stochastic differential inclusions},
url = {http://eudml.org/doc/279578},
volume = {29},
year = {2002},
}

TY - JOUR
AU - Mariusz Michta
TI - Optimal solutions to stochastic differential inclusions
JO - Applicationes Mathematicae
PY - 2002
VL - 29
IS - 4
SP - 387
EP - 398
AB - A martingale problem approach is used first to analyze compactness and continuous dependence of the solution set to stochastic differential inclusions of Ito type with convex integrands on the initial distributions. Next the problem of existence of optimal weak solutions to such inclusions and their dependence on the initial distributions is investigated.
LA - eng
KW - Stochastic differential inclusion; local martingale problem; optimal weak solutions; existence theorem; extremal problem
UR - http://eudml.org/doc/279578
ER -