Invariance for stochastic differential systems with time-dependent constraining sets
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| 024 | 7 | 0 | |a 10.1007/s10114-015-3562-8 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10114-015-3562-8 | ||
| 245 | 0 | 0 | |a Invariance for stochastic differential systems with time-dependent constraining sets |h [Elektronische Daten] |c [Marius Apetrii, Mihaela-Hanako Matcovschi, Octavian Păstrăvanu, Eduard Rotenstein] |
| 520 | 3 | |a The first part of this article presents invariance criteria for a stochastic differential equation whose state evolution is constrained by time-dependent security tubes. The key results of this section are derived by considering an equivalent problem where the square of distance function represents a viscosity solution to an adequately defined partial differential equation. The second part of the paper analyzes the broader context when solutions are constrained by more general time-dependent convex domains. The approach relies on forward stochastic variational inequalities with oblique reflection, the generalized subgradients acting as a reacting process that operates only when the solution reaches the boundary of the domain. | |
| 540 | |a Institute of Mathematics, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Chinese Mathematical Society and Springer-Verlag Berlin Heidelberg, 2015 | ||
| 690 | 7 | |a Stochastic differential (in)equations |2 nationallicence | |
| 690 | 7 | |a invariance |2 nationallicence | |
| 690 | 7 | |a oblique reflection |2 nationallicence | |
| 700 | 1 | |a Apetrii |D Marius |u Faculty of Mathematics, "Alexandru Ioan Cuza” University of Iaşi, Bd. Carol no. 9-11, 700506, Iaşi, România |4 aut | |
| 700 | 1 | |a Matcovschi |D Mihaela-Hanako |u Department of Automatic Control and Industrial Informatics, Technical University "Gh. Asachi” of Iaşi, Blvd. Mangeron 53A, 700050, Iaşi, România |4 aut | |
| 700 | 1 | |a Păstrăvanu |D Octavian |u Department of Automatic Control and Industrial Informatics, Technical University "Gh. Asachi” of Iaşi, Blvd. Mangeron 53A, 700050, Iaşi, România |4 aut | |
| 700 | 1 | |a Rotenstein |D Eduard |u Faculty of Mathematics, "Alexandru Ioan Cuza” University of Iaşi, Bd. Carol no. 9-11, 700506, Iaşi, România |4 aut | |
| 773 | 0 | |t Acta Mathematica Sinica, English Series |d Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society |g 31/7(2015-07-01), 1171-1188 |x 1439-8516 |q 31:7<1171 |1 2015 |2 31 |o 10114 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10114-015-3562-8 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10114-015-3562-8 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Apetrii |D Marius |u Faculty of Mathematics, "Alexandru Ioan Cuza” University of Iaşi, Bd. Carol no. 9-11, 700506, Iaşi, România |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Matcovschi |D Mihaela-Hanako |u Department of Automatic Control and Industrial Informatics, Technical University "Gh. Asachi” of Iaşi, Blvd. Mangeron 53A, 700050, Iaşi, România |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Păstrăvanu |D Octavian |u Department of Automatic Control and Industrial Informatics, Technical University "Gh. Asachi” of Iaşi, Blvd. Mangeron 53A, 700050, Iaşi, România |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Rotenstein |D Eduard |u Faculty of Mathematics, "Alexandru Ioan Cuza” University of Iaşi, Bd. Carol no. 9-11, 700506, Iaşi, România |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Acta Mathematica Sinica, English Series |d Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society |g 31/7(2015-07-01), 1171-1188 |x 1439-8516 |q 31:7<1171 |1 2015 |2 31 |o 10114 | ||