Stochastic variational inequalities with jumps (Q2434502): Difference between revisions

The aim of the author is to study some stochastic variational inequalities, which are multi-valued stochastic differential equations of type \[ dX_t+\partial\varphi(X_t)dt\ni b(t,X_t)dt+\sigma(t,X_t)dW_t+\int\gamma(t,X_{t-},z)\bar N(dt,dz), \] where \(\varphi\) is a lower semi-continuous convex function, \(W\) is a Brownian motion, and \(\bar N\) is a Poisson measure which is compensated for the small \(z\). He gives existence and uniqueness results which generalise previous results on the topic.