Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles
Analysis of PDEs
2012-11-22 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1211.4991,
title = {Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles},
author = {Boualem Djehiche and Said Hamadene and Marie Amelie Morlais},
journal= {arXiv preprint arXiv:1211.4991},
year = {2012}
}
Comments
27 pages