Stochastic integral with respect to set-valued square integrable martingales
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.
scientific article; zbMATH DE number 5757987
scientific article