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The authors study existence and uniqueness of a solution to the following stochastic variational inequality with oblique subgradients \[ dX_{t}+H(X_{t})\partial \varphi(X_{t})\left( dt \right) \ni f\left( t, X_{t} \right) dt+g\left( t, X_{t} \right)dB_{t}. \] The interplay between monotonicity of the subdifferential operator \(\partial \varphi\) and the assumption on the matrix map \(X \mapsto H(X)\) of being Lipschitz, makes the setting more difficult than the classical case of stochastic variational inequalities. The existence result is based on solving a deterministic generalized Skorohod problem with oblique reflection first. | |||
Property / review text: The authors study existence and uniqueness of a solution to the following stochastic variational inequality with oblique subgradients \[ dX_{t}+H(X_{t})\partial \varphi(X_{t})\left( dt \right) \ni f\left( t, X_{t} \right) dt+g\left( t, X_{t} \right)dB_{t}. \] The interplay between monotonicity of the subdifferential operator \(\partial \varphi\) and the assumption on the matrix map \(X \mapsto H(X)\) of being Lipschitz, makes the setting more difficult than the classical case of stochastic variational inequalities. The existence result is based on solving a deterministic generalized Skorohod problem with oblique reflection first. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Maria Gordina / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 35K85 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6052940 / rank | |||
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Property / zbMATH Keywords | |||
oblique reflection | |||
Property / zbMATH Keywords: oblique reflection / rank | |||
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Property / zbMATH Keywords | |||
Skorohod problem | |||
Property / zbMATH Keywords: Skorohod problem / rank | |||
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Property / zbMATH Keywords | |||
stochastic variational inequalities | |||
Property / zbMATH Keywords: stochastic variational inequalities / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2033442321 / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1102.3634 / rank | |||
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Latest revision as of 11:05, 5 July 2024
scientific article
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English | Stochastic variational inequalities with oblique subgradients |
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Statements
Stochastic variational inequalities with oblique subgradients (English)
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4 July 2012
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The authors study existence and uniqueness of a solution to the following stochastic variational inequality with oblique subgradients \[ dX_{t}+H(X_{t})\partial \varphi(X_{t})\left( dt \right) \ni f\left( t, X_{t} \right) dt+g\left( t, X_{t} \right)dB_{t}. \] The interplay between monotonicity of the subdifferential operator \(\partial \varphi\) and the assumption on the matrix map \(X \mapsto H(X)\) of being Lipschitz, makes the setting more difficult than the classical case of stochastic variational inequalities. The existence result is based on solving a deterministic generalized Skorohod problem with oblique reflection first.
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oblique reflection
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Skorohod problem
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stochastic variational inequalities
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