Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7550468 | Stochastic Processes and their Applications | 2018 | 45 Pages |
Abstract
In this article, we provide the first systematic study on the unique existence of the solution of backward stochastic dynamical variational inequalities on a general complete filtered probability space. We also build up a comprehensive analysis of the correspondence between these stochastic variational inequalities (resp. backward stochastic dynamics) and the weak solutions (instead of viscosity ones due to the intrinsic non-local nature of the integral of the gradient involved) of a class of non-local parabolic variational inequalities (resp. parabolic partial differential equations), which is barely touched in the existing literature due to its unconventional setting.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Alain Bensoussan, Yiqun Li, Sheung Chi Phillip Yam,