A maximum principle for the stochastic variational inequalities

DOI10.1016/j.spl.2016.04.022zbMath1342.49036OpenAlexW2346945442MaRDI QIDQ297162

Siyan Xu, Mengqi Zheng

Publication date: 24 June 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.04.022

zbMATH Keywords

maximum principlesupport theoremstochastic variational inequality

Mathematics Subject Classification ID

Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45) Stochastic analysis (60H99)

Cites Work

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• Second order Hamilton-Jacobi-Bellman equations with an unbounded operator
• Support theorem for stochastic variational inequalities
• On regularity of invariant measures of multivalued stochastic differential equations
• Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space
• Explicit solutions for multivalued stochastic differential equations
• A transfer principle for multivalued stochastic differential equations
• Multivalued Skorohod problem
• Stochastic variational inequalities in infinite dimensional spaces
• Ergodicité d'inégalités variationnelles stochastiques

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