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Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities.
- Source :
-
Stochastic Processes & Their Applications . Feb2018, Vol. 128 Issue 2, p644-688. 45p. - Publication Year :
- 2018
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03044149
- Volume :
- 128
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Stochastic Processes & Their Applications
- Publication Type :
- Academic Journal
- Accession number :
- 126944957
- Full Text :
- https://doi.org/10.1016/j.spa.2017.06.005