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High Order Stochastic Inclusions and Their Applications
Authors:
Mariusz Michta a;
Jerzy Motyl a
| Affiliation: | a Faculty of Mathematics, Computer Science, and Econometrics, University of Zielona G ra, Zielona Gra, Poland |
DOI:
10.1081/SAP-200050129
Publication Frequency:
6 issues per year
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Abstract
The purpose of the paper is to consider some stochastic control problems as a particular case of a more general theory, the stochastic inclusions theory. We discuss the existence of weak solutions to stochastic inclusion of a second order. The considered investigations follow with some technical and financial problems.
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| Keywords: Asset prices; Existence of weak solution; Martingale problem; Optimal control; Semimartingale; Set-valued function; Stochastic inclusion |
| Mathematics Subject Classifications: Primary 93B05; Secondary 93C30 |
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