Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities

DOI10.1016/j.spa.2017.06.005zbMath1381.37063OpenAlexW2724762992MaRDI QIDQ1688621

Sheung Chi Phillip Yam, Yiqun Li, Alain Bensoussan

Publication date: 11 January 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2017.06.005

zbMATH Keywords

stochastic variational inequalityparabolic partial differential equation

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10) Weak solutions to PDEs (35D30) Unilateral problems for parabolic systems and systems of variational inequalities with parabolic operators (35K87)

Related Items (3)

Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution ⋮ Multi-dimensional path-dependent forward-backward stochastic variational inequalities ⋮ On a class of generalized stochastic Browder mixed variational inequalities

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