On a variational inequality associated with a stopping game combined with a control (Q3148776)
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scientific article; zbMATH DE number 1804036
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| English | On a variational inequality associated with a stopping game combined with a control |
scientific article; zbMATH DE number 1804036 |
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On a variational inequality associated with a stopping game combined with a control (English)
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5 September 2003
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variational inequality
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viscosity solution
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stopping game
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control
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0.937735676765442
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0.9159088730812072
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0.8855277895927429
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0.8233512043952942
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Using the dynamic programming principle and the method of penalization the authors prove the existence and uniqueness of a viscosity solution to the nonlinear elliptic variational inequality related to a zero-sum stopping game with control. The control appears in a nonlinear term of the variational inequality. The viscosity solution is interpreted as the value function of the stopping game problem. The results of the paper generalize those contained in the well-known books by \textit{A. Bensoussan} [``Stochastic control by functional analysis methods'' (1982; Zbl 0474.93002)], \textit{A. Bensoussan} and \textit{J.-L. Lions} [``Applications des inéquations variationnelles en contrôle stochastique'' (1978; Zbl 0411.49002)] and by \textit{A. Friedman} [``Stochastic differential equations and applications''. Vol. 2 (1976; Zbl 0323.60057)].
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