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Marius Apetrii Mihaela-Hanako Matcovschi Octavian Păstrăvanu Eduard Rotenstein 《数学学报(英文版)》2015,31(7):1171-1188
The first part of this article presents invariance criteria for a stochastic differential equation whose state evolution is constrained by time-dependent security tubes. The key results of this section are derived by considering an equivalent problem where the square of distance function represents a viscosity solution to an adequately defined partial differential equation. The second part of the paper analyzes the broader context when solutions are constrained by more general time-dependent convex domains. The approach relies on forward stochastic variational inequalities with oblique reflection, the generalized subgradients acting as a reacting process that operates only when the solution reaches the boundary of the domain. 相似文献
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