On properties of set-valued integrals driven by martingales and set-valued stochastic equations

DOI10.7151/DMDICO.1203MaRDI QIDQ5040271OpenAlexFDO

Authors Wojciech Lassota, Mariusz Michta

Publication date 11 October 2022

Published in Discussiones Mathematicae. Differential Inclusions, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7151/dmdico.1203

zbMATH Keywords

set-valued functionset-valued stochastic differential equationset-valued stochastic integral

Mathematics Subject Classification ID

Set-valued operators (47H04) Stochastic integrals (60H05) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

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• Bilateral set-valued stochastic integral equations
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• Selection properties and set-valued Young integrals of set-valued functions
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• Stochastic integral with respect to set-valued square integrable martingales
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• Set-valued stochastic integrals and equations with respect to two-parameter martingales
• Set-valued backward stochastic differential equations
• On a new set-valued stochastic integral with respect to semimartingales and its applications

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