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Stochastic variational inequalities with jumps

This work is devoted to the study of a stochastic variational inequality with a Wiener–Poisson driving term. Existence and uniqueness are proven for Lipschitz coefficients and under general conditions for the unbounded term. One of the main tools used in order to obtain the existence result is a penalization method involving Moreau–Yosida regularization.
Year of publication:
2014
Authors: Zălinescu, Adrian
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 1, p. 785-811
Publisher: Elsevier
Subject: Stochastic variational inequalities | Jump–diffusions
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10011065119
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