On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles

DOI10.1016/j.jmaa.2017.02.025zbMath1370.49034arXiv1408.4282OpenAlexW2963622118MaRDI QIDQ2400647

Boualem Djehiche, Xuzhe Zhao, Marie-Amélie Morlais, Said Hamadène

Publication date: 29 August 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.4282

zbMATH Keywords

reflected backward stochastic differential equationHamilton-Jacobi-Bellman-Isaacs equationPDEs with obstaclesswitching zero-sum game

Mathematics Subject Classification ID

Differential games and control (49N70) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items

Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type, Stochastic differential switching game in infinite horizon, Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching, Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications, An overview of unconstrained free boundary problems, 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, A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time, A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates

Cites Work

• Unnamed Item
• Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
• A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
• Backward stochastic differential equations with reflection and Dynkin games
• Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• A mixed singular/switching control problem for a dividend policy with reversible technology investment
• Switching problem and related system of reflected backward SDEs
• Probabilistic representation and approximation for coupled systems of variational inequalities
• A PDE approach to regularity of solutions to finite horizon optimal switching problems
• Viscosity solutions of Hamilton-Jacobi equations
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• BSDEs with two reflecting barriers: the general result
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
• Optimal switching problems under partial information
• Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles
• Valuation of energy storage: an optimal switching approach
• Optimal Switching over Multiple Regimes
• A Finite Horizon Optimal Multiple Switching Problem
• The explicit solution to a sequential switching problem with non-smooth data
• A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
• On the Starting and Stopping Problem: Application in Reversible Investments
• Stochastic Switching Games and Duopolistic Competition in Emissions Markets