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Potential Analysis

, Volume 51, Issue 1, pp 101–125 | Cite as

Limit Theorems for Stochastic Variational Inequalities with Non-Lipschitz Coefficients

  • Jiagang Ren
  • Qun Shi
  • Jing WuEmail author
Article
  • 117 Downloads

Abstract

We establish various limit theorems for one-dimensional stochastic variational inequalities with Yamada-Watanabe type conditions on the coefficients, including, the construction of the solution through the Euler scheme, the convergence of the Yosida approximation and stability of the solution. Besides, convergence rates are presented for these two approximations when the coefficients are only Hölder continuous.

Keywords

Stochastic variational inequality One-dimensional Euler scheme Pathwise uniqueness Yosida approximation Stability Hölder continuous Rate 

Mathematics Subject Classification (2010)

60H10 60F15 

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Notes

Acknowledgments

All the authors are grateful to the referees for reading the manuscript carefully and giving valuable comments. This work is supported by NSFC (No.11471340 and No. 11671408) and Pearl River Nova Program of Guangzhou (201710010045).

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© Springer Science+Business Media B.V., part of Springer Nature 2018

Authors and Affiliations

  1. 1.School of MathematicsSun Yat-sen UniversityGuangzhouPeople’s Republic of China

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