Stochastic integral with respect to set-valued square integrable martingales

DOI10.1016/J.JMAA.2010.04.040MaRDI QIDQ984826zbMATH OpenOpenAlexFDO

Authors Xiaohua Li, Shoumei Li, Jun-Gang Li

Publication date 20 July 2010

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2010.04.040

zbMATH Keywords

representation theoremset-valued square integrable martingaleset-valued stochastic integral

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

Review text

In the paper under review, it is firstly illustrated why integrals of a stochastic process with respect to a set-valued square integrable martingale should be considered. Secondly, the representation theorem of set-valued square integrable martingale is proved. Thirdly, the definition of stochastic integral of a stochastic process with respect to a set-valued square integrable martingale and the representation theorem of this kind of integrals are given. Finally, it is proved that the stochastic integral is a set-valued sub-martingale.

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Cited in

(8)

• Fuzzy set-valued stochastic Lebesgue integral
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• Set-valued stochastic integral equations driven by martingales
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