The Generator of the Transition Semigroup Corresponding to a Stochastic Variational Inequality |
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Authors: | Viorel Barbu |
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Institution: | University Al. I. Cuza and Institute of Mathematics “Octav Mayer” , Iasi, Romania |
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Abstract: | 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. |
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Keywords: | Normal cone Oblique derivative problem Stochastic variational inequalities Transition semigroup |
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