Stochastic integral with respect to set-valued square integrable martingales
type: Item
instance of: scholarly article
title: Stochastic integral with respect to set-valued square integrable martingales
zbMATH Open document ID: 1203.60060
author: Xiaohua Li
author: Shoumei Li
author: Jun-Gang Li
published in: Journal of Mathematical Analysis and Applications
publication date: 2010-07-20T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60G48
zbMATH DE Number: 5757987
zbMATH Keywords: set-valued square integrable martingale
zbMATH Keywords: set-valued stochastic integral
zbMATH Keywords: representation theorem
reviewed by: Pavel Gapeev
MaRDI profile type: Publication
full work available at URL: j.jmaa.2010.04.040
OpenAlex ID: W2023954869
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DOI: 10.1016/J.JMAA.2010.04.040
description: scientific article; zbMATH DE number 5757987