Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality

DOI10.1137/110850980zbMath1263.35224arXiv1109.5348OpenAlexW2964001963MaRDI QIDQ4920251

Shanjian Tang, Zhou Yang

Publication date: 16 May 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.5348

zbMATH Keywords

variational inequalitybackward stochastic partial differential equationDynkin gamesuperparabolicity

Mathematics Subject Classification ID

Variational and other types of inequalities involving nonlinear operators (general) (47J20) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) PDEs with randomness, stochastic partial differential equations (35R60)

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