کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527319 | 958817 | 2015 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multivalued backward stochastic differential equations with oblique subgradients
ترجمه فارسی عنوان
معادلات دیفرانسیل عقب ماندگاری چند ضلعی با زیرگادات های متقاطع
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
چکیده انگلیسی
We study the existence and uniqueness of the solution for the following backward stochastic variational inequality with oblique reflection (for short, BSVI(H(t,y)âÏ(y))), written under differential form {âdYt+H(t,Yt)âÏ(Yt)(dt)âF(t,Yt,Zt)dtâZtdBt,tâ[0,T],YT=η, where H is a bounded symmetric smooth matrix and Ï is a proper convex lower semicontinuous function, with âÏ being its subdifferential operator. The presence of the product HâÏ does not permit the use of standard techniques because it conserves 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 on the state of the system, the above BSVI(H(t,y)âÏ(y)) 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 8, August 2015, Pages 3170-3195
Journal: Stochastic Processes and their Applications - Volume 125, Issue 8, August 2015, Pages 3170-3195
نویسندگان
Anouar M. Gassous, Aurel RÄÅcanu, Eduard Rotenstein,