An analytic approach to the ergodic theory of a stochastic variational inequality |
| |
| Authors: | Alain Bensoussan Laurent Mertz |
| |
| Institution: | 1. International Center for Decision and Risk Analysis, School of Management, University of Texas at Dallas, Box 830688, Richardson, Texas 75083-0688, USA;2. Graduate School of Business, the Hong Kong Polytechnic University, Hong Kong;3. Graduate Department of Financial Engineering, Ajou University, Suwon 443 749, Republic of Korea;4. Université Pierre-et-Marie-Curie–Paris 6, laboratoire Jaques-Louis-Lions, 4, place Jussieu, 75005 Paris, France |
| |
| Abstract: | In an earlier work made by the first author with J. Turi (Degenerate Dirichlet Problems Related to the Invariant Measure of Elasto-Plastic Oscillators, AMO, 2008), the solution of a stochastic variational inequality modeling an elasto-perfectly-plastic oscillator has been studied. The existence and uniqueness of an invariant measure have been proven. Nonlocal problems have been introduced in this context. In this work, we present a new characterization of the invariant measure. The key finding is the connection between nonlocal PDEs and local PDEs which can be interpreted with short cycles of the Markov process solution of the stochastic variational inequality. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
