Stochastic variational inequalities of parabolic type
- Cite this article as:
- Haussmann, U.G. & Pardoux, E. Appl Math Optim (1989) 20: 163. doi:10.1007/BF01447653
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Existence and uniqueness of strong solutions of stochastic partial differential equations of parabolic type with reflection (e.g., the solutions are never allowed to be negative) is proved. The problem is formulated as a stochastic variational inequality and then compactness is used to derive the result, but the method requires the space dimension to be one.