Martingale representation theorem for set-valued martingales

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:409

Article

Kisielewicz, Michal

关键词: Set-valued mappings;    Set-valued integrals;    Set-valued stochastic processes;    Set-valued martingales;   

DOI  :  10.1016/j.jmaa.2013.06.066

来源: Elsevier

【 摘 要 】

The present paper contains a martingale representation theorem for set-valued martingales defined on a filtered probability space with a filtration generated by a Brownian motion. It is proved that such type martingales can be defined by some generalized set-valued stochastic integrals with respect to a given Brownian motion. The main result of the paper is preceded by short part devoted to the definition and some properties of generalized set-valued stochastic integrals. (C) 2013 Elsevier Inc. All rights reserved.

【 授权许可】

Free