Support theorem for stochastic variational inequalities
Jiagang Ren, Siyan Xu
TL;DR
This paper establishes a support theorem for solutions of stochastic variational inequalities, extending the Stroock-Varadhan framework to this class of stochastic problems.
Contribution
It introduces a support theorem specifically for stochastic variational inequalities, a novel extension of classical support theorems.
Findings
Support theorem proven for stochastic variational inequalities
Extension of Stroock-Varadhan support theorem to new context
Provides theoretical foundation for analysis of stochastic variational inequalities
Abstract
We prove a support theorem of the type of Stroock-Varadhan for solutions of stochastic variational inequalities.
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Taxonomy
TopicsPoint processes and geometric inequalities · Nonlinear Partial Differential Equations · Optimization and Variational Analysis