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Preprint di Matematica -n. 9 Novembre 2005 The stochastic obstacle problem for the
 

Summary: Preprint di Matematica - n. 9 Novembre 2005
The stochastic obstacle problem for the
harmonic oscillator with damping
Viorel Barbu
Giuseppe Da Prato
SCUOLA NORMALE SUPERIORE
PISA
The stochastic obstacle problem for the
harmonic oscillator with damping
Viorel Barbu
University Al. I. Cuza, 700506, Iasi, Romania
Giuseppe Da Prato 1
Scuola Normale Superiore, 56126, Pisa, Italy
Abstract. We study the Kolmogorov equation associated with a second
order stochastic variational inequality related to the harmonic oscillator.
2000 Mathematics Subject Classification AMS : 35Q10, 37L40.
Key words: stochastic variational inequality, Kolmogorov equation, invari-
ant measure, m­dissipative operator.
1 Introduction
Consider the second order stochastic differential equation in R,

  

Source: Abbondandolo, Alberto - Scuola Normale Superiore of Pisa

 

Collections: Mathematics