Numerical Functional Analysis and Optimization · 1997 · 58 citations · 3 references
Natural SciencesMathematicsDifferential EquationsProbability TheoryStochastic ProcessesContinuous-time Stochastic ProcessesStochastic CalculusStochastic Differential EquationsVariational InequalitiesInfinite-dimensional Hilbert SpacesStochastic Variational InequalitiesStrong SolutionsUniqueness TheoremsVariational Inequality Existence TheoremsVariational Inequality TheoryWeak Solutions
Abstract In this paper one studies the existence of strong and variational-weak solutions for the multivalued stochastic differential equation The uniqueness is proved for strong solutions and remains open for variational-weak solutions Keywords: stochastic clifFerential equationssubdifferential operatorstochastic variational inequalities. 1:The work of this author was partly supported by the University of Marne-la-Vallee, University of Orleans and INRIA, France 1:The work of this author was partly supported by the University of Marne-la-Vallee, University of Orleans and INRIA, France Notes 1:The work of this author was partly supported by the University of Marne-la-Vallee, University of Orleans and INRIA, France
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Application of variational inequalities to stochastic control
Robert J. Elliott · Automatica · 1983 · 26 citations