On solutions to stochastic differential inclusions

Pages: 618 - 622, Issue Special, July 2003

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Mariusz Michta - Institute of Mathematics, University of Zielona Góra, Podgórna 50, 65-246 Zielona Góra, Poland (email)

Abstract: In the paper a martingale problem approach is used to analyze the problem of existence and topological properties of optimal weak solutions to stochastic differential inclusions of Ito type with convex integrands.

Keywords:  stochastic differential inclusions, weak solutions, martingale problem, weak convergence of probability measures.
Mathematics Subject Classification:  Primary: 93E03, 93C30; Secondary: 60H10.

Received: September 2002;      Revised: March 2003;      Published: April 2003.