Itô Set-Valued Integrals

Michał Kisielewicz
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Michał Kisielewicz: University of Zielona Góra

Chapter Chapter 5 in Set-Valued Stochastic Integrals and Applications, 2020, pp 141-193 from Springer

Abstract: 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 ) $${\mathbb {L}}^2(\mathbb {R}^+\times \Omega ,\Sigma _{\mathbb {F}},\mathbb {R}^{d\times m})$$ .

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-3-030-40329-4_5

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DOI: 10.1007/978-3-030-40329-4_5

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