Cadlag Skorokhod problem driven by a maximal monotone operator

preprint2015arXivOpen access

Abstract

The article deals with existence and uniqueness of the solution of the following differential equation (a càdlàg Skorokhod problem) driven by a maximal monotone operator and with singular input generated by the càdlàg function mm: \[ \left\{ \begin{array} [c]{l} dx_{t}+A\left( x_{t}\right) \left( dt\right) +dk_{t}^{d}\ni dm_{t} \,,~t\geq0,\\ x_{0}=m_{0}, \end{array} \right. \] where kdk^{d} is a pure jump function. The jumps outside of the constrained domain D(A)‾\overline{\mathrm{D}(A)} are counteracted through the generalized projection ΠΠ, by taking xt=Π(xt−+Δmt)x_{t}=Π(x_{t-}+Δm_{t}), whenever xt−+Δmt∉D(A)‾ x_{t-}+Δm_{t}\notin\overline {\mathrm{D}(A)}\,. Approximations of the solution based on discretization and Yosida penalization are considered.

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