Note on the selection properties of set-valued semimartingales

• Autorzy: Mariusz Michta
• Języki publikacji: EN

Abstrakty

EN

Set-valued semimartingales are introduced as an extension of the notion of single-valued semimartingales. For such multivalued processes their semimartingale selection properties are investigated.

Słowa kluczowe

EN

set-valued stochastic processes; conditional expectation; martingales; selections

Kategorie tematyczne

• 60G20: Generalized stochastic processes
• 54C60: Set-valued maps
• 60G44: Martingales with continuous parameter
• 60H05: Stochastic integrals

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae, Differential Inclusions, Control and Optimization
• Rocznik: 1996
• Tom: 16
• Numer: 2
• Strony: 161-169

Daty

wydano

1996

Twórcy

autor

Mariusz Michta

• Technical University, Institute of Mathematics, Podgórna 50, 65-246 Zielona Góra, Poland

Bibliografia

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