Convex analysis for sets of local martingales measures
type: Item
instance of: scholarly article
zbMATH Open document ID: 0996.60055
publication date: 2002-08-21T00:00:00Z
full work available at URL: https://eudml.org/doc/246584
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 46A55
Mathematics Subject Classification ID: 52A07
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 1720033
zbMATH Keywords: local martingale problems
zbMATH Keywords: measure convex sets
zbMATH Keywords: Choquet convex sets
zbMATH Keywords: stochastic differential equations
MaRDI profile type: Publication
author: Josef Štěpán
author: P. Ševčík
title: Convex analysis for sets of local martingales measures
published in: Acta Universitatis Carolinae. Mathematica et Physica
review text: This article is a continuation of the paper reviewed above where the authors deal with topological properties for the sets of solutions of local martingale problems. Now, they deepen and refine their study by investigating measure convexity properties for the sets of solutions of local martingale problems. First, they derive some results on measure convex sets of Borel probability measures on a Polish space, focusing, particularly, on Choquet sets. Relying on this general theory, they analyze the set of solutions to local martingale problems constrained by a boundary condition. That allows them to tackle the problem of the uniqueness of weak solutions in the theory of stochastic differential equations, extending the Stroock-Varadhan theorem.
reviewed by: Miguel Ángel Mirás Calvo
description: scientific article; zbMATH DE number 1720033