EXISTENCE FOR NONLINEAR FINITE DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS OF SUBGRADIENT TYPE

被引：1

作者：

Barbu, Viorel ^{[1
]}

机构：

[1] Romanian Acad Iasi, Octav Mayer Inst Math, Iasi, Romania

来源：

MATHEMATICAL CONTROL AND RELATED FIELDS | 2018年 / 8卷 / 3-4期

关键词：

Stochastic; convex function; optimal control problem;

D O I：

10.3934/mcrf.2018020

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

One proves via variational techniques the existence and uniqueness of a strong solution to the stochastic differential equation dX + partial derivative phi(t, X)dt (sic) Sigma(N)(i=1) sigma(i)(X)d beta(i), X(0) = x, where partial derivative phi : R-d -> 2(Rd) is the subdifferential of a convex function phi : R-d -> R and sigma(i) is an element of L(R-d, R-d), 1 <= d < infinity.

引用

页码：501 / 508

页数：8

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