Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space. II. (Q720738)
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English | Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space. II. |
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Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space. II. (English)
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11 October 2011
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The authors consider a symmetric Dirichlet form, and then define a weak solution of the Neumann problem denoted by \(\varphi\). By considering the Kolmogorov operator associated to the Dirichlet from above, they study the existence and regularity of the solutions to the Neumann problem associated with a Ornstein-Uhlenbeck operator on a bounded and smooth convex set of a Hilbert space. Furthermore, the authors find the solution of a stochastic variational inequality, developing the reflection problem. For part I, cf. [Ann. Probab. 37, No. 4, 1427--1458 (2009; Zbl 1205.60141)].
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Neumann problem
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Ornstein-Uhlenbeck operator
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Kolmogorov operator
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reflection problem
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infinite-dimensional analysis
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