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Itô Set-Valued Integrals

In: Set-Valued Stochastic Integrals and Applications

Author

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  • Michał Kisielewicz

    (University of Zielona Góra)

Abstract

In this chapter we present the definition and properties of Itô set-valued integrals of square integrable non-anticipative matrix-valued stochastic processes. We begin with the definition and properties of Itô set-valued functional integrals of subsets of the space 𝕃 2 ( ℝ + × Ω , Σ 𝔽 , ℝ d × m ) $${\mathbb {L}}^2(\mathbb {R}^+\times \Omega ,\Sigma _{\mathbb {F}},\mathbb {R}^{d\times m})$$ .

Suggested Citation

  • Michał Kisielewicz, 2020. "Itô Set-Valued Integrals," Springer Optimization and Its Applications, in: Set-Valued Stochastic Integrals and Applications, chapter 0, pages 141-193, Springer.
    • Handle: RePEc:spr:spochp:978-3-030-40329-4_5
    DOI: 10.1007/978-3-030-40329-4_5
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