Discussiones Mathematicae Differential Inclusions 19 (1999) 123-129

[BIBTex]

STOCHASTIC DIFFERENTIAL INCLUSIONS

Michał Kisielewicz

Institute of Mathematics
Technical University of Zielona Góra
Podgórna 50, 65-246 Zielona Góra, Poland

Abstract

The definition and some existence theorems for stochastic differential inclusion dZt ∈ F(Zt)dXt, where F and X are set valued stochastic processes, are given.

Keywords: stochastic processes, stochastic inclusions, set-valued semimartingals, stochastic differentials.

1991 Mathematics Subject Classification: 93E03, 93C03.

References

[1] M. Kisielewicz, Differential Inclusions and Optimal Control, Kluwer Acad. Publ. (1991).
[2] E. Michta, On stochastic inclusions with multivalued integrators, Stoch. Anal. Appl. (submitted to print).
[3] Ph. Proter, Stochastic Integration and Differential Equations, Springer-Verlag 1990.

Received 19 August 1999