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ArticleOriginal scientific text

Title

Set-valued Stratonovich integral

Authors 1, 1

Affiliations

  1. Faculty of Mathematics, Computer Science and Econometrics University of Zielona Góra Szafrana 4a, 65-516 Zielona Góra, Poland

Abstract

The purpose of the paper is to introduce a set-valued Stratonovich integral driven by a one-dimensional Brownian motion. We discuss the existence of this integral and investigate its properties.

Keywords

ENG
set-valued function, Hukuhara differential, selection of a set-valued map, semimartingale, Stratonovich integral

Bibliography

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Discussiones Mathematicae Probability and Statistics
2006/26/1
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Pages:
63-81
Main language of publication
English
Received
2005-09-15
Accepted
2006-01-15
Published
2006

DOI: 10.7151/dmps.1075

Exact and natural sciences