Time discretization of a setvalued stochastic dynamic system
A stochastic differential inclusion of Ito type with a setvalued drift coefficient is considered. The problem of minimizing a convex Lipschitz functional over the set of the solutions of this inclusion on the interval \([0,T]\) is studied. Because of the complexity of the necessary extremality conditions for this problem, an equidistant decomposition of the time interval (with step \(T/N\), \(N\) is an integer number) is proposed and a discretization of the original problem is constructed. It is shown that the solutions of these discretized setvalued control problems (corresponding to different \(N\)) converge to the solution of the original problem when \(N\) tends to infinity. Moreover, a discrete version of a minimum principle is derived for the case of the discretized problem.
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