On a new set-valued stochastic integral with respect to semimartingales and its applications

[摘要] We present a new approach to a concept of a set-valued stochastic integral with respect to semi martingales. 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. (C) 2013 Elsevier Inc. All rights reserved.

[发布日期] 2013-12-15

[关键词] Set-valued stochastic integrals;Stochastic differential inclusion;Set-valued stochastic integral equation;Existence of solution;Semimartingale;Fuzzy stochastic integral;Fuzzy stochastic differential equation