Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space
Barbu, Viorel ; Da Prato, Giuseppe ; Tubaro, Luciano
Ann. Probab., Tome 37 (2009) no. 1, p. 1427-1458 / Harvested from Project Euclid
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We consider the stochastic reflection problem associated with a self-adjoint operator A and a cylindrical Wiener process on a convex set K with nonempty interior and regular boundary Σ in a Hilbert space H. We prove the existence and uniqueness of a smooth solution for the corresponding elliptic infinite-dimensional Kolmogorov equation with Neumann boundary condition on Σ.
Publié le : 2009-07-15
Classification:  Reflected process,  convex sets,  Dirichlet forms,  Kolmogorov operators,  Gaussian measures,  infinite-dimensional Neumann problem,  60J60,  47D07,  15A63,  31C25 
@article{1248182143,
     author = {Barbu, Viorel and Da Prato, Giuseppe and Tubaro, Luciano},
     title = {Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space},
     journal = {Ann. Probab.},
     volume = {37},
     number = {1},
     year = {2009},
     pages = { 1427-1458},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1248182143}
}

Barbu, Viorel; Da Prato, Giuseppe; Tubaro, Luciano. Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space. Ann. Probab., Tome 37 (2009) no. 1, pp.  1427-1458. http://gdmltest.u-ga.fr/item/1248182143/