Martingale representation theorem for set-valued martingales

Martingales, Lévy’s continuity theorem, and the martingale central limit theorem

A complete representation theorem for G-martingales

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Martingale Representation Theorem for the G-expectation

This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in [20] for the second order stochastic target problems and the second order backward stochastic differential equations. In particular, this representation provides a hedging strategy in a ...

Aumann Type Set-valued Lebesgue Integral and Representation Theorem

In this paper, we shall firstly illustrate why we should discuss the Aumann type set-valued Lebesgue integral of a set-valued stochastic process with respect to time t under the condition that the set-valued stochastic process takes nonempty compact subset of d-dimensional Euclidean space. After recalling some basic results about set-valued stochastic processes, we shall secondly prove that the...

A Sard Theorem for Set-Valued Mappings∗†

If F is a set-valued mapping from IRn into IRm with closed graph, then y ∈ IRm is a critical value of F if for some x with y ∈ F (x), F is not metrically regular at (x, y). We prove that the set of critical values of a set-valued mapping whose graph is a definable (tame) set in an o-minimal structure containing additions and multiplications is a set of dimension not greater than m − 1 (resp. a ...