Stochastic variational inequalities with oblique subgradients (Q432510): Difference between revisions

The authors study existence and uniqueness of a solution to the following stochastic variational inequality with oblique subgradients \[ dX_{t}+H(X_{t})\partial \varphi(X_{t})\left( dt \right) \ni f\left( t, X_{t} \right) dt+g\left( t, X_{t} \right)dB_{t}. \] The interplay between monotonicity of the subdifferential operator \(\partial \varphi\) and the assumption on the matrix map \(X \mapsto H(X)\) of being Lipschitz, makes the setting more difficult than the classical case of stochastic variational inequalities. The existence result is based on solving a deterministic generalized Skorohod problem with oblique reflection first.