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On set-valued stochastic integrals and fuzzy stochastic equations
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    On set-valued stochastic integrals and fuzzy stochastic equations (English)
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    19 June 2012
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    The author establishes the notion of a set-valued trajectory stochastic integral in a semimartingale framework. The notion of this set-valued stochastic integral arises in a natural way by the corresponding notion of the decomposable hull of a map with respect to a semimartingale and a filtration. Formal stochastic equations are studied with respect to the existence of solutions for which a relevant Brownian integral is defined. Finally, a corresponding martingale problem is studied for this type of stochastic integral.
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    set-valued stochastic processes
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    stochastic integrals
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    fuzzy sets
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    fuzzy stochastic equations
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