Stochastic integral with respect to set-valued square integrable martingales

摘要

In this paper, we shall firstly illustrate why we should consider integral of a stochastic process with respect to a set-valued square integrable martingale. Secondly, we shall prove the representation theorem of set-valued square integrable martingale. Thirdly, we shall give the definition of stochastic integral of a stochastic process with respect to a set-valued square integrable martingale and the representation theorem of this kind of integrals. Finally, we shall prove that the stochastic integral is a set-valued sub-martingale.