We introduce set-valued stochastic integrals driven by a square-integrable martingale and by a semimartingale. We investigate properties of both integrals.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1076,
author = {Jerzy Motyl and Joachim Syga},
title = {Properties of set-valued stochastic integrals},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {26},
year = {2006},
pages = {83-103},
zbl = {1129.93046},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1076}
}
Jerzy Motyl; Joachim Syga. Properties of set-valued stochastic integrals. Discussiones Mathematicae Probability and Statistics, Tome 26 (2006) pp. 83-103. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1076/
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