Set-Valued Stochastic Equation with Set-Valued Square Integrable Martingale

Abstract

In this paper, we shall introduce the stochastic integral of a stochastic process with respect to set-valued square integrable martingale. Then we shall give the Aumann integral measurable theorem, and give the set-valued stochastic Lebesgue integral and set-valued square integrable martingale integral equation. The existence and uniqueness of solution to set-valued stochastic integral equation are proved. The discussion will be useful in optimal control and mathematical finance in psychological factors.