ArticleOriginal scientific text
Title
Weak solutions of stochastic differential inclusions and their compactness
Authors 1
Affiliations
- Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra, Prof. Z. Szafrana 4a, 65-516 Zielona Góra, Poland
Abstract
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.
Keywords
semimartingale, stochastic differential inclusions, weak solutions, martingale problem, weak convergence of probability measures
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Pages:
91-106
Main language of publication
English
Received
2009-06-05
Published
2009
DOI: 10.7151/dmdico.1106
Exact and natural sciences