Constrained stochastic differential equations
This work uses techniques from convex analysis to study constrained solutions (u, ƞ) to stochastic differential equations in Hilbert spaces. The process u must stay in the domain of a given convex function φ, and ƞ is a bounded variation process. The constraint is expressed by a variational inequ...
| Main Author: | |
|---|---|
| Language: | English |
| Published: |
2008
|
| Online Access: | http://hdl.handle.net/2429/3101 |