Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality
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Publication:4920251
DOI10.1137/110850980zbMath1263.35224arXiv1109.5348MaRDI QIDQ4920251
Publication date: 16 May 2013
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.5348
variational inequality; backward stochastic partial differential equation; Dynkin game; superparabolicity
47J20: Variational and other types of inequalities involving nonlinear operators (general)
93E20: Optimal stochastic control
91A15: Stochastic games, stochastic differential games
35R60: PDEs with randomness, stochastic partial differential equations
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