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Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales |
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| Authors: | Mariusz Michta Kamil ?ukasz ?wi?tek |
| Institution: | 1. Faculty of Mathematics, Computer Science, and Econometrics, University of Zielona Góra, Zielona Góra, Poland;2. Institute of Mathematics, Poznań University of Technology, Poznań, Poland |
| Abstract: | This article is concerned with notions of set-valued stochastic integrals driven by two-parameter martingales and increasing processes. We investigate their main properties and we consider next multivalued stochastic integral equations in the plane. We establish the existence and uniqueness of solutions to such equations as well as their additional properties. |
| Keywords: | Random field Two-parameter martingale Set-valued stochastic integral equation |