On a new set-valued stochastic integral with respect to semimartingales and its applications |
| |
Authors: | Marek T. Malinowski |
| |
Affiliation: | Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra, Szafrana 4a, 65-516 Zielona Góra, Poland |
| |
Abstract: | We present a new approach to a concept of a set-valued stochastic integral with respect to semimartingales. Such an integral, called set-valued stochastic up-trajectory integral, is compatible with the decomposition of the semimartingale. Some properties of this integral are stated. We show applicability of the new integral in set-valued stochastic integral equations driven by multidimensional semimartingales. The uniqueness theorem is presented. Then we extend the notion of the set-valued stochastic up-trajectory integral to definition of a fuzzy stochastic up-trajectory integral with respect to semimartingales. A result on uniqueness of a solution to fuzzy stochastic integral equations incorporating the new fuzzy stochastic up-trajectory integral driven by the multidimensional semimartingale is stated. |
| |
Keywords: | Set-valued stochastic integrals Stochastic differential inclusion Set-valued stochastic integral equation Existence of solution Semimartingale Fuzzy stochastic integral Fuzzy stochastic differential equation |
本文献已被 ScienceDirect 等数据库收录! |