Constrained stochastic differential equations

This work uses techniques from convex analysis to study constrained solutions (u, ƞ) to stochastic differential equations in Hilbert spaces. The process u must stay in the domain of a given convex function φ, and ƞ is a bounded variation process. The constraint is expressed by a variational inequ...

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Bibliographic Details
Main Author: Storm, Andrew
Format: Others
Language:English
Published: 2008
Online Access:http://hdl.handle.net/2429/3101