The generator of the transition semigroup corresponding to a stochastic variational inequality

被引：16

作者：

Barbu, Viorel ^{[1
,2
]}

Da Prato, Giuseppe ^{[3
]}

机构：

[1] Univ Cuza, Iasi, Romania

[2] Inst Math Octav Mayer, Iasi, Romania

[3] Scuola Normale Super Pisa, I-56126 Pisa, Italy

来源：

COMMUNICATIONS IN PARTIAL DIFFERENTIAL EQUATIONS | 2008年 / 33卷 / 07期

关键词：

normal cone; oblique derivative problem; stochastic variational inequalities; transition semigroup;

D O I：

10.1080/03605300701743764

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

One proves that the generator of the transition semigroup of a stochastic differential equation with boundary reflection on a convex set K is the realization of a second order elliptic operator on K with zero oblique derivative boundary conditions. Several implications to parabolic problems with oblique derivative are also derived.

引用

页码：1318 / 1338

页数：21

共 16 条

[1]

[Anonymous], DIFFERENTIAL INTEGRA

[2] The Neumann problem on unbounded domains of Rd and stochastic variational inequalities [J].