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Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
2015 (English)In: Funkcialaj Ekvacioj, ISSN 0532-8721, Vol. 58, no 1, 135-175 p.Article in journal (Refereed) Published
Abstract [en]

We study a general class of nonlinear second-order variational inequalities with interconnected bilateral obstacles, related to a multiple modes switching game. Under rather weak assumptions, using systems of penalized unilateral backward SDEs, we construct a continuous viscosity solution of polynomial growth. Moreover, we establish a comparison result which in turn yields uniqueness of the solution.

Place, publisher, year, edition, pages
2015. Vol. 58, no 1, 135-175 p.
Keyword [en]
Switching games, Variational inequalities, Oblique reflection, Penalization, Backward stochastic differential equation, Bellman-Isaacs equation, Perron's method
National Category
URN: urn:nbn:se:kth:diva-166328DOI: 10.1619/fesi.58.135ISI: 000353002000004ScopusID: 2-s2.0-84927137796OAI: diva2:810825

QC 20150508

Available from: 2015-05-08 Created: 2015-05-07 Last updated: 2015-05-08Bibliographically approved

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Djehiche, Boualem
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Mathematical Statistics
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