Stochastic variational inequalities with jumps

Adrian Zălinescu

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 785-811

Abstract: 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.

Keywords: Stochastic variational inequalities; Jump–diffusions (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:1:p:785-811

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DOI: 10.1016/j.spa.2013.09.005

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