Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales

被引：8

作者：

Michta, Mariusz ^{[1
]}

Swiatek, Kamil Lukasz ^{[1
,2
]}

机构：

[1] Univ Zielona Gora, Fac Math Comp Sci & Econometr, PL-65246 Zielona Gora, Poland

[2] Poznan Univ Tech, Inst Math, Poznan, Poland

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2015年 / 33卷 / 01期

关键词：

Two-parameter martingale; Set-valued stochastic integral equation; Random field; DIFFERENTIAL-EQUATIONS; WEAK SOLUTIONS; TERM STRUCTURE; DRIVEN; EXISTENCE; INCLUSIONS; FIELDS; SPACES; PLANE;

D O I：

10.1080/07362994.2014.970277

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This article is concerned with notions of set-valued stochastic integrals driven by two-parameter martingales and increasing processes. We investigate their main properties and we consider next multivalued stochastic integral equations in the plane. We establish the existence and uniqueness of solutions to such equations as well as their additional properties.

引用

页码：40 / 66

页数：27

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