The search session has expired. Please query the service again.

The search session has expired. Please query the service again.

Displaying similar documents to “Note on the selection properties of set-valued semimartingales”

Boundedness of set-valued stochastic integrals

Michał Kisielewicz (2015)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

Similarity:

The paper deals with integrably boundedness of Itô set-valued stochastic integrals defined by E.J. Jung and J.H. Kim in the paper [4], where has not been proved that this integral is integrably bounded. The problem of integrably boundedness of the above set-valued stochastic integrals has been considered in the paper [7] and the monograph [8], but the problem has not been solved there. The first positive results dealing with this problem due to M. Michta, who showed (see [11]) that there...

Properties of set-valued stochastic integrals

Jerzy Motyl, Joachim Syga (2006)

Discussiones Mathematicae Probability and Statistics

Similarity:

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

Properties of generalized set-valued stochastic integrals

Michał Kisielewicz (2014)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

Similarity:

The paper is devoted to properties of generalized set-valued stochastic integrals defined in [10]. These integrals generalize set-valued stochastic integrals defined by E.J. Jung and J.H. Kim in the paper [4]. Up to now we were not able to construct any example of set-valued stochastic processes, different on a singleton, having integrably bounded set-valued integrals defined in [4]. It was shown by M. Michta (see [11]) that in the general case set-valued stochastic integrals defined...

Set-valued Stratonovich integral

Anna Góralczyk, Jerzy Motyl (2006)

Discussiones Mathematicae Probability and Statistics

Similarity:

The purpose of the paper is to introduce a set-valued Stratonovich integral driven by a one-dimensional Brownian motion. We discuss the existence of this integral and investigate its properties.