Geodesic
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 
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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