Note on strong solutions of a stochastic inclusion (Q1897838): Difference between revisions
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Revision as of 10:53, 12 February 2024
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| Language | Label | Description | Also known as |
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| English | Note on strong solutions of a stochastic inclusion |
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Note on strong solutions of a stochastic inclusion (English)
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13 February 1996
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A stochastic Itô inclusion \(x_t\in \int^t_0 F_\tau(x) dM_\tau\) is introduced in two different forms, where \(F\) is a set-valued predictable process and \(M\) is a continuous semimartingale. A selection property is proved.
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Hausdorff metric
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stochastic inclusion
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set-valued predictable process
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semimartingale
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selection property
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