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

Joachim Syga — 2015

Discussiones Mathematicae Probability and Statistics

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.

Properties of set-valued stochastic integrals

Jerzy Motyl; Joachim Syga — 2006

Discussiones Mathematicae Probability and Statistics

We introduce set-valued stochastic integrals driven by a square-integrable martingale and by a semimartingale. We investigate properties of both integrals.

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