In this paper, we consider weak solutions to stochastic inclusions driven by a semimartingale and a martingale problem formulated for such inclusions. Using this we analyze compactness of the set of solutions. The paper extends some earlier results known for stochastic differential inclusions driven by a diffusion process.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmdico_1106,
author = {Mariusz Michta},
title = {Weak solutions of stochastic differential inclusions and their compactness},
journal = {Discussiones Mathematicae, Differential Inclusions, Control and Optimization},
volume = {29},
year = {2009},
pages = {91-106},
zbl = {1206.93107},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmdico_1106}
}
Mariusz Michta. Weak solutions of stochastic differential inclusions and their compactness. Discussiones Mathematicae, Differential Inclusions, Control and Optimization, Tome 29 (2009) pp. 91-106. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmdico_1106/
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