Weak solutions of stochastic differential inclusions and their compactness
Discussiones Mathematicae. Differential Inclusions, Control and Optimization, Tome 29 (2009) no. 1, pp. 91-106.

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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.
Keywords: semimartingale, stochastic differential inclusions, weak solutions, martingale problem, weak convergence of probability measures
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Michta, Mariusz. Weak solutions of stochastic differential inclusions and their compactness. Discussiones Mathematicae. Differential Inclusions, Control and Optimization, Tome 29 (2009) no. 1, pp. 91-106. http://geodesic.mathdoc.fr/item/DMDICO_2009_29_1_a5/

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