Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles

DOI10.1619/fesi.58.135zbMath1325.49014arXiv1211.4991OpenAlexW2962797495MaRDI QIDQ3448365

Said Hamadène, Boualem Djehiche, Marie-Amélie Morlais

Publication date: 23 October 2015

Published in: Funkcialaj Ekvacioj (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.4991

zbMATH Keywords

variational inequalitiespenalizationbackward stochastic differential equationsBellman-Isaacs equationPerron's methodviscosity solutionsoblique reflectionswitching gamesinterconnected bilateral obstacles

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Differential games and control (49N70) Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (5)

Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type ⋮ On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles ⋮ Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications ⋮ 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

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