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arxiv: 0908.4139 · v1 · submitted 2009-08-28 · 🧮 math.PR

Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space

classification 🧮 math.PR
keywords associatedboundaryconvexequationhilbertkolmogorovproblemreflection
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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 $\Sigma$ 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 $\Sigma$.

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