On Weak Solutions to Stochastic Differential Inclusions Driven by Semimartingales
Author:
Mariusz Michta ab
| Affiliations: | a Faculty of Mathematics, Computer Sciences and Econometrics, University of Zielona G ra, Podg rna, Zielona G ra, Poland |
b Faculty of Mathematics, Computer Sciences and Econometrics, Zielona G ra, Poland |
DOI:
10.1081/SAP-200026471
Publication Frequency:
6 issues per year
Published in:
Stochastic Analysis and Applications,
Volume
22,
Issue
5
January
2005
, pages 1341
- 1361
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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 It
's type.
|
| Keywords: Semimartingale; Stochastic differential inclusions; Weak solutions; Martingale problem; Weak convergence of probability measures |
| MSC(MOS): 93E03; 93C30 |
| view references (28) |

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