Approximation and simulation of stochastic variational inequalities - splitting up method

DOI10.1080/01630569708816759MaRDI QIDQ4351389zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic variational inequalitiessplitting up methodsimulation of sample path

Mathematics Subject Classification ID

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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• Approximation of the Zakaï Equation by the Splitting up Method
• On the maximal monotonicity of subdifferential mappings
• On the variational principle
• Stochastic variational inequalities in infinite dimensional spaces

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
• Stochastic variational inequalities with oblique subgradients
• Multi-valued stochastic differential equations driven by \(G\)-Brownian motion and related stochastic control problems
• Large deviation for mean-field stochastic differential equations with subdifferential operator
• The optimal control problem associated with multi-valued stochastic differential equations with jumps
• Stochastic variational inequalities on non-convex domains
• Multivalued monotone stochastic differential equations with jumps
• Well-posedness and stability analysis of two classes of generalized stochastic volatility models
• 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
• Stochastic variational inequalities with jumps
• Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
• Limit theorems for stochastic variational inequalities with non-Lipschitz coefficients

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