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Weak solutions of stochastic differential inclusions and their compactness

Mariusz Michta (2009)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

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.

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