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A probabilistic approach to second order variational inequalities with bilateral constraints |
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| Authors: | |
| Institution: | (1) Department of Mathematics, Indian Institute of Science, 560 012 Bangalore, India;(2) Department of Electrical and Computer Engineering, University of Texas, TX 78712 Austin, USA;(3) CMI, Université de Provence, 39, Rue F. J. Curie, 13 453 Marseille, France |
| Abstract: | We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of aunique viscosity solution of these variational inequalities and give a stochastic representation to this solution. As an application, we study a stochastic game with stopping times and show the existence of a saddle point equilibrium. |
| Keywords: | Variational inequalities viscosity solution stochastic game stopping time value saddle point equilibrium |
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