Advanced search
Publication Cover
Stochastic Analysis and Applications Volume 22, 2004 - Issue 5
Submit an article Journal homepage
86
Views
10
CrossRef citations to date
0
Altmetric
Original Articles

On Weak Solutions to Stochastic Differential Inclusions Driven by Semimartingales

Mariusz Michta Faculty of Mathematics, Computer Sciences and Econometrics, University of Zielona Góra, Podgórna, Zielona Góra, Poland; Faculty of Mathematics, Computer Sciences and Econometrics, Podgórna 50, Zielona Góra, 65-246, PolandCorrespondence[email protected]
Pages 1341-1361 | Published online: 01 Sep 2006
 
Sample our Mathematics & Statistics journals, sign in here to start your FREE access for 14 days

Abstract

In this paper we consider weak solutions to stochastic inclusions driven by a general semimartingale. We prove the existence of weak solutions and equivalence with the existence of solutions to the martingale problem formulated to such inclusion. Using this we then analyze compactness property of solutions set. Presenting results extend some of those being known for stochastic differential inclusions of Itô's type.

MSC(MOS):

Acknowledgments

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related Research Data

Continuous selections for a class of non-convex multivalued maps
Source: Institute of Mathematics, Polish Academy of Sciences
Handbook of Multivalued Analysis
Source: Springer US
Stochastic Integration and Differential Equations
Source: Springer Berlin Heidelberg
Stochastic Functional Inclusion Driven by Semimartingale
Source: Informa UK Limited
Stochastic nagumo's viability theorem
Source: Informa UK Limited
Optimal Relaxed Controls for Infinite-Dimensional Stochastic Systems of Zakai Type
Source: Society for Industrial & Applied Mathematics (SIAM)
Weak and strong solutions of stochastic differential equations: Existence and stability
Source: Springer Berlin Heidelberg
Weak and strong solutions of stochastic differential equations
Source: Informa UK Limited
STOCHASTIC INCLUSIONS WITH MULTIVALUED INTEGRATORS
Source: Informa UK Limited
Optimal solutions to stochastic differential inclusions
Source: Institute of Mathematics, Polish Academy of Sciences
Limit Theorems for Stochastic Processes
Source: Springer Berlin Heidelberg
Integrals, Conditional Expectations and Martingales of Multivalued Functions
Source: Elsevier BV
Nonlinear stochastic differential inclusions on balance space
Source: Informa UK Limited
Set-valued stochastic intergrals and stochastic inclutions 1
Source: Informa UK Limited
Weak compactness of solution sets to stochastic differential inclusions with convex right-hand sides
Source: Uniwersytet Mikolaja Kopernika/Nicolaus Copernicus University
Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations
Source: Institute of Mathematical Statistics
Stochastic Integration with Jumps
Source: Cambridge University Press
Second Order Stochastic Inclusion
Source: Informa UK Limited

Linking provided by 

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.