Abstract
In a separable Banach space X, at first we study X-valued stochastic integrals with respect to the Poisson random measure N(dsdz) and the compensated Poisson random measure N∼(dsdz) generated by a stationary Poisson stochastic process p. When the characteristic measure ν of p is finite, both N(dsdz) and N∼(dsdz) are of finite variation a.s. Then the set-valued integrals with respect to the Poisson random measure and the compensated Poisson random measure are integrably bounded. The set-valued integral with respect to the compensated Poisson random measure is a right continuous (under Hausdorff metric) set-valued martingale.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
