A representation theorem for set-valued submartingales

Abstract

The integral representation theorem for martingales has been widely used in probability theory. In this work, we propose and prove a general representation theorem for a class of set-valued submartingales. We also extend the stochastic integral representation for non-trivial initial set-valued martingales. Moreover, we show that this result covers the existing ones in the literature for both degenerated and non-degenerated set-valued martingales.