Invariance for stochastic differential systems with time-dependent constraining sets

DOI10.1007/s10114-015-3562-8zbMath1318.60063OpenAlexW1521884739MaRDI QIDQ2354177

Octavian Pastravanu, Mihaela-Hanako Matcovschi, Marius Apetrii, Eduard Rotenstein

Publication date: 10 July 2015

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-015-3562-8

zbMATH Keywords

PDEinvarianceviscosity solutionstochastic differential equationsforward stochastic variational inequalitiestime-dependent constraining sets

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Nonlinear differential equations in abstract spaces (34G20) Stochastic stability in control theory (93E15) Functional limit theorems; invariance principles (60F17) Viscosity solutions to PDEs (35D40)

Related Items (3)

Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application ⋮ Viability for coupled SDEs driven by fractional Brownian motion ⋮ Invariance of closed convex sets for stochastic functional differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic variational inequalities with oblique subgradients
• Linear time-variant systems: Lyapunov functions and invariant sets defined by Hölder norms
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
• On stability and existence of solutions of SDEs with reflection at the boundary
• Multivalued Skorohod problem
• Viability of moving sets for stochastic differential equation.
• Viability property for a backward stochastic differential equation and applications to partial differential equations
• SDEs with oblique reflection on nonsmooth domains
• On existence, uniqueness and stability of solutions of multidimensional SDE's with reflecting boundary conditions
• Stochastic differential equations, backward SDEs, partial differential equations
• The Fitzpatrick function - a bridge between convex analysis and multivalued stochastic differential equations
• Stochastic differential equations with reflecting boundary conditions
• Existence for a class of stochastic parabolic variational inequalities
• User’s guide to viscosity solutions of second order partial differential equations
• Approximation and simulation of stochastic variational inequalities - splitting up method
• Deterministic and Stochastic Differential Equations in Hilbert Spaces Involving Multivalued Maximal Monotone Operators

This page was built for publication: Invariance for stochastic differential systems with time-dependent constraining sets