- Tytuł:
- Weak solutions of stochastic differential inclusions and their compactness
- Autorzy:
- Michta, Mariusz
- Powiązania:
- https://bibliotekanauki.pl/articles/729384.pdf
- Data publikacji:
- 2009
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
semimartingale
stochastic differential inclusions
weak solutions
martingale problem
weak convergence of probability measures - Opis:
- 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.
- Źródło:
-
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2009, 29, 1; 91-106
1509-9407 - Pojawia się w:
- Discussiones Mathematicae, Differential Inclusions, Control and Optimization
- Dostawca treści:
- Biblioteka Nauki
Artykuł