Multivalued backward stochastic differential equations with oblique subgradients

DOI10.1016/J.SPA.2015.03.001MaRDI QIDQ2347461zbMATH OpenOpenAlexFDO

Authors Anouar M. Gassous, Aurel Răşcanu, Eduard Rotenstein

Publication date 27 May 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.0977

zbMATH Keywords

oblique reflectionsubdifferential operatorsMeyer-Zheng topologymultivalued backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Stochastic analysis (60H99)

Abstract: We study the existence and uniqueness of the solution for the following backward stochastic variational inequality with oblique reflection (for short, $BSVIleft(H(t,y),varphi,Fight)$), written under differential form [ left{�egin{array} [c]{l}% -dY_{t}+Hleft(t,Y_{t} ight) partialvarphileft(Y_{t} ight) left(dt ight) i Fleft(t,Y_{t},Z_{t} ight) dt-Z_{t}dB_{t},quad tinleft[ 0,T ight] ,smallskip\ Y_{T}=eta, end{array} ight. ] where $H$ is a bounded symmetric smooth matrix and $varphi$ is a proper convex lower semicontinuous function, with $partialvarphi$ being its subdifferential operator. The presence of the product $Hpartialvarphi$ does not permit the use of standard techniques because it does conserve neither the Lipschitz property of the matrix nor the monotonicity property of the subdifferential operator. We prove that, if we consider the dependence of $H$ only on the time, the equation admits a unique strong solution and, allowing the dependence also on the state of the system, the above $BSVIleft(H(t,y),varphi,Fight)$ admits a weak solution in the sense of the Meyer-Zheng topology. However, for that purpose we must renounce at the dependence on $Z$ for the generator function and we situate our problem in a Markovian framework.

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Cited in

(11)

• Numerical schemes for multivalued backward stochastic differential systems
• Obliquely reflected backward stochastic differential equations
• Backward stochastic variational inequalities with locally bounded generators
• Stochastic variational inequalities with oblique subgradients
• Backward stochastic variational inequalities on random interval
• On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem
• \(L^p\)-variational solutions of multivalued backward stochastic differential equations
• Multi-dimensional path-dependent forward-backward stochastic variational inequalities
• Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
• Stochastic variational inequality and reflected BSDE with single L^2 obstacle
• Anticipated backward stochastic variational inequalities with generalized reflection

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