Title of article
Martingale representation theorem for set-valued martingales
Author/Authors
Kisielewicz، نويسنده , , Micha?، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2014
Pages
8
From page
111
To page
118
Abstract
The present paper contains a martingale representation theorem for set-valued martingales defined on a filtered probability space with a filtration generated by a Brownian motion. It is proved that such type martingales can be defined by some generalized set-valued stochastic integrals with respect to a given Brownian motion. The main result of the paper is preceded by short part devoted to the definition and some properties of generalized set-valued stochastic integrals.
Keywords
Set-valued mappings , Set-valued integrals , Set-valued stochastic processes , Set-valued martingales
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2014
Journal title
Journal of Mathematical Analysis and Applications
Record number
1563945
Link To Document