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

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    • 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

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      Posted on July 25, 2019

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