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math.PR2011
Stochastic variational inequalities with oblique subgradients
Anouar M. Gassous, Aurel Rascanu, Eduard Rotenstein
In this paper we will study the existence and uniqueness of the solution for the stochastic variational inequality with oblique subgradients of the following form:{l} dX_{t}+H(X_{t…
math.PR2011★ 5 cited
Numerical Schemes for Multivalued Backward Stochastic Differential Systems
Lucian Maticiuc, Eduard Rotenstein
We define some approximation schemes for different kinds of generalized backward stochastic differential systems, considered in the Markovian framework. We propose a mixed approxim…