Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales
[ 1 ] Instytut Matematyki, Wydział Elektryczny, Politechnika Poznańska | [ P ] employee
2015
scientific article
english
- random field
- two-parameter martingale
- set-valued stochastic integral equation
- 60h20
- 60g60
- 60h05
EN This article is concerned with notions of set-valued stochastic integrals driven by twoparameter 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.
40 - 66
20
0,63