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...
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| Format: | Others |
| Language: | English |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/2429/3101 |