Approximation and simulation of stochastic variational inequalities - splitting up method
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Cites work
- Approximation of the Zakaï Equation by the Splitting up Method
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- On the maximal monotonicity of subdifferential mappings
- On the variational principle
- Stochastic variational inequalities in infinite dimensional spaces
Cited in
(27)- Second order Hamilton-Jacobi-Bellman inequalities
- Some applications of linear programming formulations in stochastic control
- Limit theorems for stochastic variational inequalities with non-Lipschitz coefficients
- Invariance for stochastic differential systems with time-dependent constraining sets
- Stochastic variational inequalities with jumps
- Multi-dimensional path-dependent forward-backward stochastic variational inequalities
- Large deviation for mean-field stochastic differential equations with subdifferential operator
- Stochastic approximations and perturbations in forward-backward splitting for monotone operators
- Multivalued monotone stochastic differential equations with jumps
- The optimal control problem associated with multi-valued stochastic differential equations with jumps
- Numerical schemes for multivalued backward stochastic differential systems
- Stochastic variational inequalities with oblique subgradients
- Second order Hamilton-Jacobi-Bellman equations with an unbounded operator
- Stochastic Theta Method for a Reflected Stochastic Differential Equation
- Stochastic variational inequalities on non-convex domains
- Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
- Multivalued stochastic delay differential equations and related stochastic control problems
- A stochastic approach to a new type of parabolic variational inequalities
- Multi-valued stochastic differential equations driven by G-Brownian motion and related stochastic control problems
- Multi-valued backward stochastic differential equations driven by \(G\)-Brownian motion and its applications
- Well-posedness and stability analysis of two classes of generalized stochastic volatility models
- Euler scheme for solving a class of stochastic differential variational inequalities with some applications
- Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
- McKean-Vlasov stochastic variational inequalities with oblique subgradients and propagation of chaos
- Multilevel Monte Carlo simulation of Bayesian Lasso
- Well-posedness and propagation of chaos for McKean-Vlasov stochastic variational inequalities
- Well-posedness of McKean-Vlasov stochastic variational inequalities with delay
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