数学
随机微分方程
随机偏微分方程
可微函数
约束(计算机辅助设计)
表征(材料科学)
财产(哲学)
数学分析
微分方程
一阶偏微分方程
应用数学
粘度溶液
几何学
纳米技术
哲学
材料科学
认识论
作者
Rainer Buckdahn,Marc Quincampoix,Catherine Rainer,Aurel Răşcanu
出处
期刊:Advances in Differential Equations
日期:2002-01-01
卷期号:7 (9)
被引量:21
标识
DOI:10.57262/ade/1367241459
摘要
We study the existence of solutions of stochastic differential equations with a state constraint depending on the time. We provide a necessary and sufficient characterization of closed, time depending constraints for which there exists a solution of a given stochastic differential equation. This characterization is given in terms of viscosity super- and subsolution of some suitable partial differentiable equations. The above property, called viability, is stated for both forward and backward stochastic differential equations.
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