Splitting-up methods for SDEs with generalized reflection on convex and nonconvex domains
Eduard Rotenstein
Alexandru Ioan Cuza University, Iaşi, Romania
Abstract:
We consider stochastic variational inequalities with generalized reflection. More precisely, the multivalued term which drives the equation is perturbed, in a multiplicative manner, by a matrix operator, with Lipschitz properties. This new multivalued term preserves neither the maximal monotonicity of the subdifferential operator nor the Lipschitz property of the matrix involved. We construct some splitting-up approximation schemes for the above problems, considered in both the convex and the non-convex framework.
This is a joint work with Andreea Negruţ (Simion Stoilow Institute of Mathematics of the Romanian Academy).