On properties of set-valued integrals driven by martingales and set-valued stochastic equations
Journal Title: Discussiones Mathematicae Differential Inclusions Control and Optimization - Year 2018, Vol 38, Issue 1
Abstract
In the paper we study properties of stochastic integrals of Aumann type driven by quadratic variation process and set-valued Itô integral with respect to martingale. Next, the existence, uniqueness and convergence properties of solutions to set-valued stochastic differential equations with respect to such integrators are investigated. The results obtained in the paper generalize conclusions dealing with this topic known both in deterministic and stochastic cases.
Authors and Affiliations
Wojciech Lassota, Mariusz Michta
Keywords
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- EP ID EP484042
- DOI 10.7151/dmdico.1203
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