ebooks logo journals logo reference works logo abstract databases logo
bullet  SIGN IN Register | Why Register? | Got a Voucher? alerts   marked lists   shopping cart 

informaworld

HOME   |   SEARCH   |   BROWSE
    Issues List       Latest Issue       Volume 22 Issue 5       Subscribe       Article       References       Related articles      
<< firstfirst   < prevprev   Table of contentstoc   next >next   last >>last
Publisher Logo Publication Cover
Search within this journal
iOpen

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 Goacutera, Podgoacuterna, Zielona Goacutera, Poland
b Faculty of Mathematics, Computer Sciences and Econometrics, Zielona Goacutera, Poland
DOI: 10.1081/SAP-200026471
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 22, Issue 5 January 2005 , pages 1341 - 1361
Formats available: HTML (English) : PDF (English)
Article Requests: Order Reprints : Request Permissions


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 Itocirc's type.
Keywords: Semimartingale; Stochastic differential inclusions; Weak solutions; Martingale problem; Weak convergence of probability measures
MSC(MOS): 93E03; 93C30
view references (28)
Bookmark with:
  • CiteULike
  • Del.icio.us
  • BibSonomy
  • Connotea
  • More bookmarks
Privacy Policy | Terms & Conditions | Accessibility | RSS
FAQs in: English . Français . Español . 中文(简体和繁體)
© 2009 Informa plc