On set-valued stochastic integrals and fuzzy stochastic equations (Q429355)

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.