Selections of set-valued stochastic processes

DOI10.1155/S1048953398000069MaRDI QIDQ1264409zbMATH OpenFDO

Authors Mariusz Michta, Longin E. Rybiński

Publication date 6 April 1999

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/48108

zbMATH Keywords

conditional expectationmartingalemeasurable and continuous selectionset-valued stochastic process

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Set-valued maps in general topology (54C60) Generalized stochastic processes (60G20) Martingales with continuous parameter (60G44)

Review text

We prove several theorems on the existence of \({\mathcal F}_t\)-adapted, continuous selections for \({\mathcal F}_t\)-adapted, set-valued stochastic processes, as well as a continuous time version of \textit{C. Hess}' result on martingale selection [J. Multivariate Anal. 39, No. 1, 175-201 (1991; Zbl 0746.60051)]. Such results may be useful in the theory of set-valued stochastic integrals.

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