Stochastic integral with respect to set-valued square integrable martingales (Q984826)
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scientific article; zbMATH DE number 5757987
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic integral with respect to set-valued square integrable martingales |
scientific article; zbMATH DE number 5757987 |
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Stochastic integral with respect to set-valued square integrable martingales (English)
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20 July 2010
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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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set-valued square integrable martingale
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set-valued stochastic integral
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representation theorem
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