Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2018

Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles

Résumé

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.
Fichier principal
Vignette du fichier
1211.4991.pdf (362.65 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01835105 , version 1 (11-07-2018)

Identifiants

Citer

Boualem Djehiche, Said Hamadène, Marie Amélie Morlais. Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles. 2018. ⟨hal-01835105⟩
50 Consultations
87 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More