Optimal solutions to stochastic differential inclusions

DOI10.4064/am29-4-2zbMath1044.93062OpenAlexW1988645282MaRDI QIDQ4790115

Mariusz Michta

Publication date: 28 January 2003

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am29-4-2

zbMATH Keywords

existence theoremextremal problemlocal martingale problemoptimal weak solutionsStochastic differential inclusion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Ordinary differential inclusions (34A60) Martingales with continuous parameter (60G44) Stochastic systems in control theory (general) (93E03) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

Related Items (9)

Second Order Stochastic Inclusion ⋮ On Weak Solutions to Stochastic Differential Inclusions Driven by Semimartingales ⋮ Stochastic morphological evolution equations ⋮ Stochastic equations with discontinuous jump functions ⋮ Remarks on unboundedness of set-valued Itô stochastic integrals ⋮ The interrelation between stochastic differential inclusions and set-valued stochastic differential equations ⋮ High Order Stochastic Inclusions and Their Applications ⋮ Stochastic differential inclusions and diffusion processes ⋮ On connections between stochastic differential inclusions and set-valued stochastic differential equations driven by semimartingales

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