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Set-valued semimartingales are introduced as an extension of the notion of single-valued semimartingales. For such multivalued processes their semimartingale selection properties are investigated.
We introduced the notion of -boundedness of a filtered family of operators in the Musielak-Orlicz sequence space of multifunctions. This notion is used to get the convergence theorems for the families of -linear operators, -dist-sublinear operators and -dist-convex operators. Also, we prove that is complete.
Valov proved a general version of Arvanitakis's simultaneous selection theorem which is a common generalization of both Michael's selection theorem and Dugundji's extension theorem. We show that Valov's theorem can be extended by applying an argument by means of Pettis integrals due to Repovš, Semenov and Shchepin.
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