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

    • Fulltext

       

        Click here to view fulltext PDF


      Permanent link:
      https://www.ias.ac.in/article/fulltext/pmsc/113/04/0431-0442

    • Keywords

       

      Variational inequalities; viscosity solution; stochastic game; stopping time; value; saddle point equilibrium

    • 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.

    • Author Affiliations

       

      Mrinal K Ghosh1 2 K S Mallikarjuna Rao3

      1. Department of Mathematics, Indian Institute of Science, Bangalore - 560 012, India
      2. Department of Electrical and Computer Engineering, University of Texas, Austin - TX 78712, USA
      3. CMI, Université de Provence, 39, Rue F. J. Curie, Marseille - 13 453, France
    • Dates

       
  • Proceedings – Mathematical Sciences | News

    • Editorial Note on Continuous Article Publication

      Posted on July 25, 2019

      Click here for Editorial Note on CAP Mode

© 2021-2022 Indian Academy of Sciences, Bengaluru.