| 关于有界闭凸集值平方可积鞅的随机积分 |
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| 引用本文： | 许桂玲,周华任,李世楷.关于有界闭凸集值平方可积鞅的随机积分[J].解放军理工大学学报,2005,6(1):92-95. |
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| 作者姓名： | 许桂玲 周华任 李世楷 |
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| 作者单位： | 解放军理工大学,理学院,江苏,南京,211101;解放军理工大学,理学院,江苏,南京,211101;解放军理工大学,理学院,江苏,南京,211101 |
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| 摘 要： | 研究了简单实值可料过程关于有界闭凸集值平方可积鞅的随机积分，证明了它是一个集值平方可积鞅；然后将被积函数推广为一般实可料过程，证明了在一定假设条件下其随机积分是存在的，且是一个集值平方可积鞅。
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| 关 键 词： | 集值平方可积鞅 Doleans测度 支撑函数 |
| 文章编号： | 1009-3443(2005)01-0092-04 |
| 修稿时间： | 2003年12月5日 |
Integration with respect to set -valued square -integrable mar tingales |
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| XU Gui-ling,ZHOU Hua-ren and LI Shi-kai.Integration with respect to set -valued square -integrable mar tingales[J].Journal of PLA University of Science and Technology(Natural Science Edition),2005,6(1):92-95. |
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| Authors: | XU Gui-ling ZHOU Hua-ren and LI Shi-kai |
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| Institution: | Institute of Sciences, PLA Univ. of Sci. & Tech., Nanjing 211101, China;Institute of Sciences, PLA Univ. of Sci. & Tech., Nanjing 211101, China;Institute of Sciences, PLA Univ. of Sci. & Tech., Nanjing 211101, China |
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| Abstract: | The stochastic integral of simple real predictable processes with respect to bounded convex set-valued square integrable martingales was given. The integration is a set-valued square integrable martingale. Then the integrands were generalized and the theory of existence of integration under the stated assumption was proved, and furthermore the fact that the integration is a set-valued square integtable martingale is comfirmed. |
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| Keywords: | set-valued square integrable martingale Doleans measure support function |
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