On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles

DOI10.1016/J.JMAA.2017.02.025zbMath1370.49034arXiv1408.4282OpenAlexW2963622118MaRDI QIDQ2400647

Boualem Djehiche, Xuzhe Zhao, Marie-Amélie Morlais, Said Hamadène

Publication date: 29 August 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.4282

zbMATH Keywords

reflected backward stochastic differential equationHamilton-Jacobi-Bellman-Isaacs equationPDEs with obstaclesswitching zero-sum game

Mathematics Subject Classification ID

Differential games and control (49N70) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (9)

Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type ⋮ Stochastic differential switching game in infinite horizon ⋮ Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching ⋮ Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications ⋮ An overview of unconstrained free boundary problems ⋮ Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers ⋮ Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs ⋮ A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time ⋮ A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates

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