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Weak solutions of stochastic differential inclusions and their compactness

100%

Michta M.

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

2009

tom 29

nr 1

91-106

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.

Properties of set-valued stochastic integrals

100%

Motyl J., Syga J.

Discussiones Mathematicae Probability and Statistics

2006

tom 26

nr 1

83-103

We introduce set-valued stochastic integrals driven by a square-integrable martingale and by a semimartingale. We investigate properties of both integrals.

Set-valued Stratonovich integral

100%

Góralczyk A., Motyl J.

Discussiones Mathematicae Probability and Statistics

2006

tom 26

nr 1

63-81

The purpose of the paper is to introduce a set-valued Stratonovich integral driven by a one-dimensional Brownian motion. We discuss the existence of this integral and investigate its properties.

Ograniczanie wyników

2 Discussiones Mathematicae Probability and Statistics

1 Discussiones Mathematicae, Differential Inclusions, Control and Optimization

2 Motyl J.

1 Góralczyk A.

1 Michta M.

1 Syga J.

1 2009

2 2006

Wyniki wyszukiwania

Weak solutions of stochastic differential inclusions and their compactness

Properties of set-valued stochastic integrals

Set-valued Stratonovich integral