On solutions to stochastic differential inclusions

Mariusz Michta

doi:10.3934/proc.2003.2003.618

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2003, Volume 2003: 618-622. Doi: 10.3934/proc.2003.2003.618 open access

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On solutions to stochastic differential inclusions

Mariusz Michta^1,

1.
Institute of Mathematics, University of Zielona Góra, Podgórna 50, 65-246 Zielona Góra

Received: August 31, 2002

Revised: February 28, 2003

Published: March 2003

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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.

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