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ArticleOriginal scientific text

Title

Semimartingale measure in the investigation of Stratonovich-type stochastic integrals and inclusions

Authors 1

Affiliations

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

Abstract

A random measure associated to a semimartingale is introduced. We use it to investigate properties of several types of stochastic integrals and properties of the solution set of Stratonovich-type stochastic inclusion.

Keywords

ENG
forward, backward and symmetric integral, time-reversible process, semimartingale measure, set-valued stochastic integral, Stratonovich inclusion

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Discussiones Mathematicae Probability and Statistics
2015/35/1-2
Export to PBN, Opens in new tab
Pages:
7-27
Main language of publication
English
Received
2014-08-30
Published
2015

DOI: 10.7151/dmps.1178

Exact and natural sciences