Stochastic differential equations with a convex constraint

DOI10.1080/17442509508833992zbMath0854.60053OpenAlexW1964548058MaRDI QIDQ4892365

Andrew Storm

Publication date: 13 January 1997

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509508833992

zbMATH Keywords

convex analysisstochastic variational inequalityreflected diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (7)

Projection scheme for stochastic differential equations with convex constraints. ⋮ Euler's approximations of solutions of SDEs with reflecting boundary. ⋮ Penalization methods for the Skorokhod problem and reflecting SDEs with jumps ⋮ Multivalued monotone stochastic differential equations with jumps ⋮ Penalty method for obliquely reflected diffusions ⋮ Stochastic Theta Method for a Reflected Stochastic Differential Equation ⋮ On stochastic mirror descent with interacting particles: convergence properties and variance reduction

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