Stochastic integrals with multivalued integrators (Q2702971)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic integrals with multivalued integrators |
scientific article |
Statements
4 January 2002
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stochastic integral
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set-valued stochastic processes
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martingales
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measurable selection
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Stochastic integrals with multivalued integrators (English)
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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.
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