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6. Probability, Stochastic Analysis, and Mathematical Statistics

Splitting-up methods for SDEs with generalized reflection on convex and nonconvex domains

Eduard Rotenstein
Alexandru Ioan Cuza University, Iaşi, Romania

Abstract:

We consider stochastic variational inequalities with generalized reflection. More precisely, the multivalued term which drives the equation is perturbed, in a multiplicative manner, by a matrix operator, with Lipschitz properties. This new multivalued term preserves neither the maximal monotonicity of the subdifferential operator nor the Lipschitz property of the matrix involved. We construct some splitting-up approximation schemes for the above problems, considered in both the convex and the non-convex framework. This is a joint work with Andreea Negruţ (Simion Stoilow Institute of Mathematics of the Romanian Academy).