Martingale problem to Stratonovich stochastic inclusion

DOI10.1016/J.NA.2009.01.157zbMATH Open1238.60078OpenAlexW2008222598MaRDI QIDQ419923FDOQ419923

Authors: Mariusz Michta, Jerzy Motyl 

Publication date: 20 May 2012

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.01.157

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zbMATH Keywords

weak solutionmartingale problemHukuhara differentialselection of a set-valued mapStratonovich stochastic inclusion

Mathematics Subject Classification ID

Ordinary differential inclusions (34A60) Ordinary differential equations and systems with randomness (34F05) Stochastic integral equations (60H20)

Cites Work

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• Theory of set differential equations in metric spaces
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• A differential calculus for multifunctions
• Weak compactness of solution sets to stochastic differential inclusions with convex right-hand sides
• One-dimensional Stratonovich differential equations
• Set valued Stratonovich integral and Stratonovich type stochastic inclusion
• Differentiable selections of multifunctions and their applications

Cited In (3)

• The interrelation between stochastic differential inclusions and set-valued stochastic differential equations
• Set-valued stochastic integral equations driven by martingales
• Selection properties and set-valued Young integrals of set-valued functions

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