Limit Theorems for Stochastic Variational Inequalities with Non-Lipschitz Coefficients

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. Besid...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Potential analysis 2019-07, Vol.51 (1), p.101-125
Hauptverfasser: Ren, Jiagang, Shi, Qun, Wu, Jing
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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 Hölder continuous.
ISSN:0926-2601
1572-929X
DOI:10.1007/s11118-018-9704-8