Approximation and simulation of stochastic variational inequalities - splitting up method
DOI10.1080/01630569708816759zbMATH Open0883.60057OpenAlexW2067473533MaRDI QIDQ4351389FDOQ4351389
Authors: Ioan Asiminoaei, Aurel Răşcanu 
Publication date: 16 March 1998
Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01630569708816759
Recommendations
Probabilistic methods, stochastic differential equations (65C99) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited In (23)
- Numerical schemes for multivalued backward stochastic differential systems
- Euler scheme for solving a class of stochastic differential variational inequalities with some applications
- Multivalued stochastic delay differential equations and related stochastic control problems
- Stochastic Theta Method for a Reflected Stochastic Differential Equation
- A stochastic approach to a new type of parabolic variational inequalities
- Multi-valued backward stochastic differential equations driven by \(G\)-Brownian motion and its applications
- Second order Hamilton-Jacobi-Bellman equations with an unbounded operator
- Multi-valued stochastic differential equations driven by \(G\)-Brownian motion and related stochastic control problems
- Stochastic variational inequalities with oblique subgradients
- Large deviation for mean-field stochastic differential equations with subdifferential operator
- The optimal control problem associated with multi-valued stochastic differential equations with jumps
- Well-posedness and stability analysis of two classes of generalized stochastic volatility models
- Stochastic variational inequalities on non-convex domains
- Multivalued monotone stochastic differential equations with jumps
- Second order Hamilton-Jacobi-Bellman inequalities
- Some applications of linear programming formulations in stochastic control
- Invariance for stochastic differential systems with time-dependent constraining sets
- 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 approximations and perturbations in forward-backward splitting for monotone operators
- Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
- Stochastic variational inequalities with jumps
- Limit theorems for stochastic variational inequalities with non-Lipschitz coefficients
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