Semimartingale measure in the investigation of Stratonovich-type stochastic integrals and inclusions

Joachim Syga

Discussiones Mathematicae Probability and Statistics (2015)

  • Volume: 35, Issue: 1-2, page 7-27
  • ISSN: 1509-9423

Abstract

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A random measure associated to a semimartingale is introduced. We use it to investigate properties of several types of stochastic integrals and properties of the solution set of Stratonovich-type stochastic inclusion.

How to cite

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Joachim Syga. "Semimartingale measure in the investigation of Stratonovich-type stochastic integrals and inclusions." Discussiones Mathematicae Probability and Statistics 35.1-2 (2015): 7-27. <http://eudml.org/doc/276511>.

@article{JoachimSyga2015,
abstract = {A random measure associated to a semimartingale is introduced. We use it to investigate properties of several types of stochastic integrals and properties of the solution set of Stratonovich-type stochastic inclusion.},
author = {Joachim Syga},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {forward; backward and symmetric integral; time-reversible process; semimartingale measure; set-valued stochastic integral; Stratonovich inclusion},
language = {eng},
number = {1-2},
pages = {7-27},
title = {Semimartingale measure in the investigation of Stratonovich-type stochastic integrals and inclusions},
url = {http://eudml.org/doc/276511},
volume = {35},
year = {2015},
}

TY - JOUR
AU - Joachim Syga
TI - Semimartingale measure in the investigation of Stratonovich-type stochastic integrals and inclusions
JO - Discussiones Mathematicae Probability and Statistics
PY - 2015
VL - 35
IS - 1-2
SP - 7
EP - 27
AB - A random measure associated to a semimartingale is introduced. We use it to investigate properties of several types of stochastic integrals and properties of the solution set of Stratonovich-type stochastic inclusion.
LA - eng
KW - forward; backward and symmetric integral; time-reversible process; semimartingale measure; set-valued stochastic integral; Stratonovich inclusion
UR - http://eudml.org/doc/276511
ER -

References

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