Backward stochastic variational inequalities on random interval
| Autor: | Aurel Răşcanu, Lucian Maticiuc |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: |
Statistics and Probability
Statistics::Theory stochastic variational inequalities stochastic partial differential equations Probability (math.PR) Subderivative Dirichlet distribution Stochastic partial differential equation Combinatorics Stochastic differential equation symbols.namesake Mathematics::Probability Variational inequality backward stochastic differential equations Neumann boundary condition symbols FOS: Mathematics subdifferential operators Uniqueness Convex function Mathematics - Probability Mathematics |
| Zdroj: | Bernoulli 21, no. 2 (2015), 1166-1199 |
| Popis: | The aim of this paper is to study, in the infinite dimensional framework, the existence and uniqueness for the solution of the following multivalued generalized backward stochastic differential equation, considered on a random, possibly infinite, time interval: \[\cases{\displaystyle -\mathrm{d}Y_t+\partial_y\Psi (t,Y_t)\,\mathrm{d}Q_t\ni\Phi (t,Y_t,Z_t)\,\mathrm{d}Q_t-Z_t\,\mathrm{d}W_t,\qquad 0\leq t Comment: Published at http://dx.doi.org/10.3150/14-BEJ601 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm) |
| Databáze: | OpenAIRE |
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