| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4616358 | Journal of Mathematical Analysis and Applications | 2014 | 8 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Michał Kisielewicz,