Stochastic variational inequalities with oblique subgradients
Probability
2011-08-18 v4
Abstract
In this paper we will study the existence and uniqueness of the solution for the stochastic variational inequality with oblique subgradients of the following form:{l} dX_{t}+H(X_{t}) \partial \phi (X_{t}) (dt) \ni f(t,X_{t}) dt+g(t,X_{t}) dB_{t},\quad t>0,\smallskip \ X_{0}=x\in \bar{\emph{Dom}(\phi)}.% This problem is the generalization of the stochastic differential equation with oblique reflection considered by Lions and Sznitman in `84. The existence result is based on a deterministic approach; first, we prove the existence and uniqueness of the solution of a differential system with singular input.
Keywords
Cite
@article{arxiv.1102.3634,
title = {Stochastic variational inequalities with oblique subgradients},
author = {Anouar M. Gassous and Aurel Rascanu and Eduard Rotenstein},
journal= {arXiv preprint arXiv:1102.3634},
year = {2011}
}
Comments
34 pages