Homogenization of BSDEs with two reflecting barriers, variational inequality and stochastic game

MaRDI QIDQ4609294zbMATH OpenFDO

Authors A. Diakhaby, Youssef Ouknine

Publication date 29 March 2018

zbMATH Keywords

homogenizationstochastic gamevariational inequalityviscosity solutionbackward stochastic differential equation (BSDE)reflecting barriers

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)

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• Convergence of BSDEs and homogenization of semilinear variational inequalities in a convex domain
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