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Boundedness of set-valued stochastic integrals

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Kisielewicz M.

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

2015

tom 35

nr 2

197-207

The paper deals with integrably boundedness of Itô set-valued stochastic integrals defined by E.J. Jung and J.H. Kim in the paper [4], where has not been proved that this integral is integrably bounded. The problem of integrably boundedness of the above set-valued stochastic integrals has been considered in the paper [7] and the monograph [8], but the problem has not been solved there. The first positive results dealing with this problem due to M. Michta, who showed (see [11]) that there are bounded set-valued 𝔽-nonanticipative mappings having unbounded Itô set-valued stochastic integrals defined by E.J. Jung and J.H. Kim. The present paper contains some new conditions implying unboundedness of the above type set-valued stochastic integrals.

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1 Discussiones Mathematicae, Differential Inclusions, Control and Optimization

1 Kisielewicz M.

1 2015

Wyniki wyszukiwania

Boundedness of set-valued stochastic integrals