Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type (Q1616373)
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| English | Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type |
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Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type (English)
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6 November 2018
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In this paper, the systems of nonlinear second-order variational inequalities with interconnected bilateral obstacles with non-local terms are studied, they are of min-max and max-min types and related to a multiple modes zero-sum switching game in the jump-diffusion model. For each system of penalized reflected backward SDEs with jumps and unilateral interconnected obstacles, and their associated deterministic functions, a continuous viscosity solution is constructed which is unique in the class of functions with polynomial growth.
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switching zero-sum games
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non-local variational inequalities
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backward stochastic differential equation (SDE)
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Hamilton-Jacobi-Bellman-Isaacs equation
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Perron's method
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viscosity solution
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