Optimal solutions to stochastic differential inclusions

• Autorzy: Mariusz Michta
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 93E03: Stochastic systems, general
• 93C30: Systems governed by functional relations other than differential equations (such as hybrid and switching systems)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2002
• Tom: 29
• Numer: 4
• Strony: 387-398

Daty

wydano

2002

Twórcy

autor

Mariusz Michta

• Institute of Mathematics, University of Zielona Góra, Podgórna 50, 65-246 Zielona Góra, Poland

Identyfikatory

DOI

10.4064/am29-4-2