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• W2023954869 abstract "In this paper, we shall firstly illustrate why we should consider integral of a stochastic process with respect to a set-valued square integrable martingale. Secondly, we shall prove the representation theorem of set-valued square integrable martingale. Thirdly, we shall give 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. Finally, we shall prove that the stochastic integral is a set-valued sub-martingale." @default.
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• W2023954869 date "2010-10-01" @default.
• W2023954869 modified "2023-09-26" @default.
• W2023954869 title "Stochastic integral with respect to set-valued square integrable martingales" @default.
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• W2023954869 doi "https://doi.org/10.1016/j.jmaa.2010.04.040" @default.
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