徐嗣棪, 郑梦琪. 与多值随机微分方程相关马氏半群的无穷小生成元[J]. 应用概率统计, 2018, 34(6): 565-576. DOI: 10.3969/j.issn.1001-4268.2018.06.002
引用本文: 徐嗣棪, 郑梦琪. 与多值随机微分方程相关马氏半群的无穷小生成元[J]. 应用概率统计, 2018, 34(6): 565-576. DOI: 10.3969/j.issn.1001-4268.2018.06.002
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XU Siyan, ZHENG Mengqi. The Infinitesimal Generator of Markov Semigroup Associated with Multivalued Stochastic Differential Equation[J]. Chinese Journal of Applied Probability and Statistics, 2018, 34(6): 565-576. DOI: 10.3969/j.issn.1001-4268.2018.06.002
Citation: XU Siyan, ZHENG Mengqi. The Infinitesimal Generator of Markov Semigroup Associated with Multivalued Stochastic Differential Equation[J]. Chinese Journal of Applied Probability and Statistics, 2018, 34(6): 565-576. DOI: 10.3969/j.issn.1001-4268.2018.06.002
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与多值随机微分方程相关马氏半群的无穷小生成元

The Infinitesimal Generator of Markov Semigroup Associated with Multivalued Stochastic Differential Equation

    摘要
  • 摘要: 当多值随机微分方程的扩散及漂移系数满足利普希兹连续性条件时, 我们考虑其解的无穷小生成元问题. 为了找出该无穷小生成元的核,我们研究了对应的多值椭圆方程及其粘性解.

     

    Abstract: Under the condition that the coefficients are Lipschitz continuous, we study the infinitesimal generator of Markov semigroup corresponding to the multivalued stochastic equation. In order to provide a core of the infinitesimal generator, we investigate the associated multivalued elliptic equation and its viscosity solutions.

     

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