Probabilistic representation and approximation for coupled systems of variational inequalities
From MaRDI portal
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)
Abstract: Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component of the solution is driven by a different linear parabolic operator and suffers a non-linear dependence in all the components of the solution. This dynamics is combined with a global structural constraint between all the components of the solution including the practical example of optimal switching problems. In this paper, we interpret the unique viscosity solution to this type of coupled systems of variational inequalities as the solution to one-dimensional constrained BSDEs with jumps introduced recently in [6]. In the spirit of [3], this new representation allows for the introduction of a natural entirely probabilistic numerical scheme for the resolution of these systems.
Recommendations
- Probabilistic representations for systems of elliptic equations
- scientific article; zbMATH DE number 1225885
- Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
- A system of generalized random nonlinear implicit variational inequalities
- Probabilistic representations of solutions to the Cauchy problem for systems of parabolic equations
- Integral and probabilistic representations for systems of elliptic equations
- Probabilistic feasibility guarantees for solution sets to uncertain variational inequalities
- scientific article; zbMATH DE number 4054942
- Probabilistic representation for solutions of higher-order elliptic equations
- CVaR-based formulation and approximation method for stochastic variational inequalities
Cites work
- scientific article; zbMATH DE number 3727272 (Why is no real title available?)
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- A stochastic target formulation for optimal switching problems in finite horizon
- Backward SDEs with constrained jumps and quasi-variational inequalities
- Backward stochastic differential equations and integral-partial differential equations
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
- Multi-dimensional BSDE with oblique reflection and optimal switching
- Probabilistic interpretation of a system of semilinear parabolic partial differential equations
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Switching problem and related system of reflected backward SDEs
Cited in
(13)- A full balance sheet two-mode optimal switching problem
- Stochastic impulse control problem with state and time dependent cost functions
- Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
- Principal-agent problem with multiple principals
- On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
- Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
- Discrete-time approximation of multidimensional BSDEs with oblique reflections
- Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
- Asset liquidation under drift uncertainty and regime-switching volatility
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
- BSDE representations for optimal switching problems with controlled volatility
- Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
This page was built for publication: Probabilistic representation and approximation for coupled systems of variational inequalities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q988112)
