A probabilistic approach to second order variational inequalities with bilateral constraints

Details A probabilistic approach to second order variational inequalities with bilateral constraints A probabilistic approach to second order variational inequalities with bilateral constraints

2004-06-04

arxiv.org/abs/math/0406076v1

Proc. Indian Acad. Sci. (Math. Sci.), Vol. 113, No. 4, November 2003, pp. 431-442

Mathematics

Analysis of PDEs

12 pages, no figures, no tables

Scientific paper

We study a class of second order variational inequalities with bilateral
constraints. Under certain conditions we show the existence of a unique
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.

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