Équations différentielles stochastiques multivoques

Emmanuel Cépa

Séminaire de probabilités de Strasbourg (1995)

  • Volume: 29, page 86-107

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Cépa, Emmanuel. "Équations différentielles stochastiques multivoques." Séminaire de probabilités de Strasbourg 29 (1995): 86-107. <http://eudml.org/doc/113919>.

@article{Cépa1995,
author = {Cépa, Emmanuel},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {reflection with exploding drift; penalization; degenerate diffusions; existence and uniqueness result; multivalued maximal monotone operator},
language = {fre},
pages = {86-107},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Équations différentielles stochastiques multivoques},
url = {http://eudml.org/doc/113919},
volume = {29},
year = {1995},
}

TY - JOUR
AU - Cépa, Emmanuel
TI - Équations différentielles stochastiques multivoques
JO - Séminaire de probabilités de Strasbourg
PY - 1995
PB - Springer - Lecture Notes in Mathematics
VL - 29
SP - 86
EP - 107
LA - fre
KW - reflection with exploding drift; penalization; degenerate diffusions; existence and uniqueness result; multivalued maximal monotone operator
UR - http://eudml.org/doc/113919
ER -

References

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  1. [1] A. Bensoussan et J.L. Lions : Applications des inégalités variationnelles en contrôle stochastique. Dunod, Paris, 1978. Zbl0411.49002MR513618
  2. [2] A. Bensoussan et A. Rascanu : d-Dimensional stochastic differential equation with a multivalued subdifferential operator in drift. A paraitre, 1994. 
  3. [3] H. Brezis : Opérateurs maximaux monotones et semi-groupes de contractions dans les espaces de Hilbert. North Holland, Mathematics Studies, New York, 1973. Zbl0252.47055MR348562
  4. [4] E. Cépa : Équations différentielles stochastiques multivoques. Thèse, 1994. MR1305679
  5. [5] J. Jacod et A.N. Shiryaev : Limit theorems for stochastic processes. Springer Verlag, Berlin, 1987. Zbl0635.60021MR959133
  6. [6] P. Krée : Diffusions equations for multivalued stochastic differential equations. Journ. of Funct. Anal., 49, p. 73-90, 1982. Zbl0528.60066MR680857
  7. [7] T. Kurtz : Random time change and convergence in distribution under the Meyer-Zheng conditions. The Annals of probability, vol.19, 3, 1010-1034, 1991. Zbl0742.60036MR1112405
  8. [8] D. Lépingle et C. Marois : Équations différentielles stochastiques multivoques unidimensionnelles. Sém. Prob.21, p. 520-533, 1987. Zbl0616.60059MR942002
  9. [9] J.L. Menaldi : Stochastic variational inequality for reflected diffusion. Indiana Univ. Math. Journ., 32, 5, p. 733-744, 1983. Zbl0492.60057MR711864
  10. [10] P.A. Meyer et W.A. Zheng : Tightness criteria for laws of semimartingales. Ann. Inst. H. Poincaré Proba. Stat., 20, 353-372, 1984. Zbl0551.60046MR771895
  11. [11] H. Tanaka : Stochastic differential equations with reflecting boundary conditions in convex regions. Hiroshima Math. Journ., 9, p. 163-177, 1979. Zbl0423.60055MR529332

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