On set-valued stochastic integrals and fuzzy stochastic equations (Q429355)
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scientific article; zbMATH DE number 6047982
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On set-valued stochastic integrals and fuzzy stochastic equations |
scientific article; zbMATH DE number 6047982 |
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On set-valued stochastic integrals and fuzzy stochastic equations (English)
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19 June 2012
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The author establishes the notion of a set-valued trajectory stochastic integral in a semimartingale framework. The notion of this set-valued stochastic integral arises in a natural way by the corresponding notion of the decomposable hull of a map with respect to a semimartingale and a filtration. Formal stochastic equations are studied with respect to the existence of solutions for which a relevant Brownian integral is defined. Finally, a corresponding martingale problem is studied for this type of stochastic integral.
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set-valued stochastic processes
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stochastic integrals
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fuzzy sets
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fuzzy stochastic equations
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