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Application of semimartingale measure to the investigation of stochastic inclusion. (English) Zbl 1259.93108

Summary: A random measure associated to a semimartingale is introduced. It is used to investigate properties of the solution set of a stochastic inclusion.

MSC:

93E03 Stochastic systems in control theory (general)
93C30 Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems)
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