带 Dirichlet-Neumann 边界的抛物随机变分不等式的概率表示与变分广义倒向双随机微分方程
概率论
2025-01-06 v2
摘要
我们在非 Lipschitz 条件下导出了带下半连续凸函数次微分的广义倒向双随机微分方程的存在唯一性。该研究使我们得以给出带 Dirichlet-Neumann 条件的抛物变分随机偏微分方程的概率表示（随机粘性意义下）。
引用
@article{arxiv.2110.00750,
title = {Probabilistic representation of parabolic stochastic variational inequality with Dirichlet-Neumann boundary and variational generalized backward doubly stochastic differential equations},
author = {Yong Ren and Auguste Aman and Qing Zhou},
journal= {arXiv preprint arXiv:2110.00750},
year = {2025}
}
备注
This version is 39 pages long and has been accepted to Stochastics who will publish the final version