Stochastic integrals with multivalued integrators

MaRDI QIDQ2702971zbMATH OpenFDO

Authors Mariusz Michta

Publication date 4 January 2002

Published in Nonlinear Analysis Forum (Search for Journal in Brave)

zbMATH Keywords

martingalesmeasurable selectionset-valued stochastic processesstochastic integral

Mathematics Subject Classification ID

Set-valued maps in general topology (54C60) Generalized stochastic processes (60G20) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Review text

The majority of existing papers on extensions of stochastic integrals to a framework of set-valued analysis deal with the setting where integrands are multi-valued processes while integrators are single-valued semimamrtingales. In the present note it is defined an integral of a scalar integrand with respect to a multi-valued semimartingale. Some results combining integrals of both types are obtained.

Recommendations

• On Set-Valued Stochastic Integrals
• Some properties of set-valued stochastic integrals
• STOCHASTIC INCLUSIONS WITH MULTIVALUED INTEGRATORS
• On properties of set-valued integrals driven by martingales and set-valued stochastic equations
• Stochastic integrals and stochastic equations in set-valued and fuzzy-valued frameworks

Cited in

(4)

• Stochastic integrators indexed by a multi-dimensional parameter
• scientific article; zbMATH DE number 2141109 (Why is no real title available?)
• STOCHASTIC INCLUSIONS WITH MULTIVALUED INTEGRATORS
• scientific article; zbMATH DE number 758230 (Why is no real title available?)

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