Anticipated backward stochastic variational inequalities with generalized reflection

DOI10.1142/S0219493718500089MaRDI QIDQ4598554zbMATH OpenFDO

Authors Lucian Maticiuc, Eduard Rotenstein

Publication date 21 December 2017

Published in Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

oblique reflectionsubdifferential operatorsanticipated BSDEmultivalued BSDE

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03)

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Cites work

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• scientific article; zbMATH DE number 3398324 (Why is no real title available?)
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• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Backward stochastic variational inequalities
• Backward stochastic variational inequalities on random interval
• Backward stochastic variational inequalities with locally bounded generators
• Conjugate convex functions in optimal stochastic control
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Maximum principle for the stochastic optimal control problem with delay and application
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Multivalued backward stochastic differential equations with oblique subgradients
• Multivalued backward stochastic differential equations with time delayed generators
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
• Numerical schemes for multivalued backward stochastic differential systems
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Some properties of generalized anticipated backward stochastic differential equations
• Stochastic differential equations, backward SDEs, partial differential equations
• Stochastic variational inequalities with oblique subgradients
• The Fitzpatrick function - a bridge between convex analysis and multivalued stochastic differential equations
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

Cited in

(3)

• An anticipative stochastic minimum principle under enlarged filtrations
• Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle
• Multivalued backward stochastic differential equations with oblique subgradients

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