Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space II
Author(s) -
Viorel Barbu,
Giuseppe Da Prato,
Luciano Tubaro
Publication year - 2011
Publication title -
annales de l institut henri poincaré probabilités et statistiques
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.121
H-Index - 53
eISSN - 1778-7017
pISSN - 0246-0203
DOI - 10.1214/10-aihp381
Subject(s) - mathematics , hilbert space , regular polygon , space (punctuation) , mathematical analysis , set (abstract data type) , reflection (computer programming) , convex set , pure mathematics , convex optimization , computer science , geometry , programming language , operating system
Here A :D(A) ⊂H →H is a self-adjoint operator, K = {x ∈H :g(x) ≤ 1}, where g :H→ R is convex and of class C∞, NK(x) is the normal cone to K at x and W (t) is a cylindrical Wiener process in H (see Hypothesis 1.1 for more precise assumptions). Obviously the expression in (1.1) is formal and its precise meaning should be defined. When H is finite-dimensional a solution to (1.1) is a pair of continuous adapted processes (X,η) such that X is K-valued, η is of bounded variation with dη concentrated on the set of times where X(t) ∈ Σ (the boundary of K) and
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