Back to Search
Start Over
Martingale representation theorem for set-valued martingales.
- Source :
-
Journal of Mathematical Analysis & Applications . Jan2014, Vol. 409 Issue 1, p111-118. 8p. - Publication Year :
- 2014
-
Abstract
- 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. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 0022247X
- Volume :
- 409
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Journal of Mathematical Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 90067243
- Full Text :
- https://doi.org/10.1016/j.jmaa.2013.06.066