Minimization of stochastic functionals and random variational inequalities

DOI10.1080/17442509808834160MaRDI QIDQ4393943zbMATH OpenOpenAlexFDO

Authors S. A. El Sanousi

Publication date 10 June 1999

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509808834160

zbMATH Keywords

convex functionsItô integralrandom variational inequalitiesstochastic functionals

Mathematics Subject Classification ID

Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Inequalities and extremum problems involving convexity in convex geometry (52A40) Stochastic integrals (60H05) Random operators and equations (aspects of stochastic analysis) (60H25)

Review text

The author studies the problem of minimizing stochastic functionals of the form \[ \widetilde f(u)(\omega)=f\big(\omega,u(\omega)\big),\quad \omega\in\Omega, u\in L^0(\Omega,{\mathcal F},P,H). \] Here \((\Omega,{\mathcal F},P)\) is a complete probability space, \(H\) is a Hilbert space, and \(f\) is an \({\mathcal F}\times{\mathcal B}(H)\)-measurable real function. Given a closed convex set \(K\subset H\), he provides sufficient conditions for the existence of \(u\in L^0(\Omega,{\mathcal F},P,K)\) such that \(\widetilde f(u)(\omega)\leq f(\omega,x)\) for all \(x\in K\). As a departure from the literature, none of these conditions is imposed on all sample paths. The author shows that little is lost in comparison with the situation with sample path conditions. On the other hand, he proves that the Itô integral is an example of a functional where such conditions are not valid. In the second part of the paper, the author establishes a link between minimization of stochastic inequalities and random variational inequalities associated with a pair of functionals one of which is stochastically bilinear and the other is stochastically linear.

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