Integration stochastique multivoque et inclusions differentielles stochastiques (Q4950737)

Let \(h(t,\omega)\), \(t\geq 0\), \(\omega\in \Omega\), be a multivalued stochastic process, predictable and locally bounded and taking values on compact sets of the Euclidean space of \(d\times n\) real matrices. The authors define the stochastic integral \(\int_0^t h_s dX_s\) with respect to continuous semimartingale and show some properties of this integral. Further, they consider the problem of existence of solutions of stochastic differential inclusion \[ y_t\in \xi+ \int_0^t h(s,y_s) dM_s+ \int_0^t g(s,y_s) dA_s, \] where \(\xi\in L_{\mathbb{R}^d}^2 (\Omega,{\mathcal F}_0,P)\), \(h\) and \(g\) are Borel multifunctions, \(M\) is a continuous martingale and \(A\) is an increasing process.