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A maximum principle for the stochastic variational inequalities

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  • Xu, Siyan
  • Zheng, Mengqi

Abstract

In this paper, we get the strong maximum principle to a class of operators associated with stochastic variational inequalities.

Suggested Citation

  • Xu, Siyan & Zheng, Mengqi, 2016. "A maximum principle for the stochastic variational inequalities," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 116-121.
    • Handle: RePEc:eee:stapro:v:116:y:2016:i:c:p:116-121
    DOI: 10.1016/j.spl.2016.04.022
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    References listed on IDEAS

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    1. Xu, Siyan, 2008. "Explicit solutions for multivalued stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2281-2292, October.
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    1. Jiagang Ren & Siyan Xu & Xicheng Zhang, 2010. "Large Deviations for Multivalued Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1142-1156, December.

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