Stochastic integral with respect to set-valued square integrable martingales

DOI10.1016/j.jmaa.2010.04.040zbMath1203.60060OpenAlexW2023954869MaRDI QIDQ984826

Xiaohua Li, Jun-Gang Li, Shou-mei Li

Publication date: 20 July 2010

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.04.040

zbMATH Keywords

representation theoremset-valued stochastic integralset-valued square integrable martingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

Related Items (3)

A domain-theoretic approach to Brownian motion and general continuous stochastic processes ⋮ Set-valued stochastic integral equations driven by martingales ⋮ Fuzzy set-valued stochastic Lebesgue integral

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Limit theorems and applications of set-valued and fuzzy set-valued random variables
• Strong solution of Itô type set-valued stochastic differential equation
• Representation theorems, set-valued and fuzzy set-valued Itô integral
• Representations and regularity of multivalued martingales
• On the theory of Banach space valued multifunctions. I: Integration and conditional expectation
• On the theory of Banach space valued multifunctions. II: Set valued martingales and set valued measures
• Verallgemeinerung eines in der Statistik benötigten Satzes der Maßtheorie
• On multivalued martingales whose values may be unbounded: Martingale selectors and Mosco convergence
• Convex analysis and measurable multifunctions
• Integrals, conditional expectations, and martingales of multivalued functions
• Convergence of set-valued and fuzzy-valued martingales
• Stochastic integrals of set-valued processes and fuzzy processes
• Convergence of set valued sub- and supermartingales in the Kuratowski-Mosco sense
• Properties of solution set of stochastic inclusions
• A convergence theorem of fuzzy-valued martingales in the extended Hausdorff metric \(\mathbf {H}_{\infty}\)
• Stochastic calculus for finance. II: Continuous-time models.
• On set-valued stochastic integrals in an M-type 2 Banach space
• Integrals of set-valued functions
• Applications of set-valued Radon-Nikodym theorems to convergence of multivalued $L^1$-amarts.
• A convergence theorem for convex set valued supermartingales^∗
• Nonlinear stochastic differential inclusions on balance space
• On Convergence and Closedness of Multivalued Martingales
• A stochastic filippov theorem
• Set-valued stochastic intergrals and stochastic inclutions¹
• The viability theorem for stochastic differential inclusions²
• On Set-Valued Stochastic Integrals
• On the Conditional Expectation and Convergence Properties of Random Sets
• Weak Compactness of Solution Sets to Stochastic Differential Inclusions with Non-Convex Right-Hand Sides
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Stochastic integral with respect to set-valued square integrable martingales