Communications in Partial Differential Equations, 2012
ABSTRACT We construct a Markov process X associated with the stochastic reflection problem on a c... more ABSTRACT We construct a Markov process X associated with the stochastic reflection problem on a closed convex subset with non empty interior and smooth boundary in a Hilbert space, as a solution to a random convex control problem. The transition semigroup corresponding to X is exactly that defined by the Kolmogorov equation with Neumann homogeneous boundary conditions (see [3]).
Communications in Partial Differential Equations, 2012
ABSTRACT We construct a Markov process X associated with the stochastic reflection problem on a c... more ABSTRACT We construct a Markov process X associated with the stochastic reflection problem on a closed convex subset with non empty interior and smooth boundary in a Hilbert space, as a solution to a random convex control problem. The transition semigroup corresponding to X is exactly that defined by the Kolmogorov equation with Neumann homogeneous boundary conditions (see [3]).
Uploads
Papers by Giuseppe Da Prato