63
Views
0
CrossRef citations to date
0
Altmetric
Research Articles

Weak compactness of weak solutions sets of forward-backward stochastic differential inclusions

Pages 306-326 | Received 19 Oct 2022, Accepted 20 Jun 2023, Published online: 21 Aug 2023

References

  • Duffie, D., Epstein, L. G. (1992). Stochastic differential utility. Econometrica. 60(2): 353. DOI: 10.2307/2951600.
  • Pardoux, E., Peng, S. (1990). Adapted solutions of a backward stochastic differential equation. System Control Lett. 14: 55–61. DOI: 10.1016/0167-6911(90)90082-6.
  • Buckdahn, R., Engelbert, H. J., Ruascanu, A. (2005). On weak solutions of backward stochastic differential equations. Theory Probab. Appl. 49(1): 16–50. DOI: 10.1137/S0040585X97980877.
  • Billingsley, P. (1999). Convergence of Probability Measures. New York, London, Toronto: Wiley and Sons.
  • Ma, J., Protter, P., Yong, J. (1994). Solving forward-backward stochastic differential equations explicitly - a four step scheme. Probab. Theory Rel. Fields. 98(3): 339–359. DOI: 10.1007/BF01192258.
  • Kisielewicz, M. (2020). Set-Valued Stochastic Integrals and Applications. Switzerland: Springer Nature Switzerland.
  • Hu, S., Papageourgiou, N. S. (1997). Handbook of Multivalued Analysis I. Dordrecht: Kluwer Academic Publishers.
  • Meyer, P. A., Zheng, W. A. (1984). Tightness criteria for laws of semimartingales. Probab. Stat. 20(4): 353–372.
  • Whitt, W. (2007). Proofs of the martingale FCTT. Probab. Surv. 4. DOI: 10.1214/07-PS22.
  • Kisielewicz, M., Michta, M. (2019). Weak solutions of set-valued stochastic differential equations. J. Math. Anal. Appl. 473(2): 1026–1052. DOI: 10.1016/j.jmaa.2019.01.007.
  • Øksendal, B. (1998). Equations Stochastic Differential. Berlin: Springer.
  • Kisielewicz, M. (2020). Weak compactness of weak solutions sets to stochastic differential inclusions. Stoch. Anal. Appl. 38(3): 506–526. DOI: 10.1080/07362994.2019.1702884.
  • Hiai, F., Umegaki, H. (1977). Integrals, conditional expectations, and martingales of multivalued functions. J. Multivariate Anal. 7(1): 149–182. DOI: 10.1016/0047-259X(77)90037-9.
  • Kisielewicz, M. (2013). Stochastic Differential Inclusions and Applications. New York: Springer.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.