Variational Inequalities for Combined Control and Stopping Game |
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| Authors: | K Akdim Y Ouknine |
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| Institution: | Département de Mathématiques , Université Cadi Ayyad Faculté des Sciences Semlalia , Marrakesh, Morocco |
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| Abstract: | Abstract We study a nonlinear elliptic variational inequality associated with the combined stochastic control problem. By using the dynamic programming principle and the method of penalization, we establish the existence of a unique viscosity solution of the variational inequality and describe it as the value function of the corresponding combined stochastic game problem. |
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| Keywords: | Combined control Stopping game Variational inequality Viscosity solution |
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