Limit Theorems for Stochastic Variational Inequalities with Non-Lipschitz Coefficients

被引：2

作者：

Ren, Jiagang ^{[1
]}

Shi, Qun ^{[1
]}

Wu, Jing ^{[1
]}

机构：

[1] Sun Yat Sen Univ, Sch Math, Guangzhou 510275, Guangdong, Peoples R China

来源：

POTENTIAL ANALYSIS | 2019年 / 51卷 / 01期

关键词：

Stochastic variational inequality; One-dimensional; Euler scheme; Pathwise uniqueness; Yosida approximation; Stability; Holder continuous; Rate; 60H10; 60F15; APPROXIMATIONS;

D O I：

10.1007/s11118-018-9704-8

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We establish various limit theorems for one-dimensional stochastic variational inequalities with Yamada-Watanabe type conditions on the coefficients, including, the construction of the solution through the Euler scheme, the convergence of the Yosida approximation and stability of the solution. Besides, convergence rates are presented for these two approximations when the coefficients are only Holder continuous.

引用

页码：101 / 125

页数：25

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