A probabilistic approach to second order variational inequalities with bilateral constraints
偏微分方程分析
2007-05-23 v1 概率论
摘要
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.
引用
@article{arxiv.math/0406076,
title = {A probabilistic approach to second order variational inequalities with bilateral constraints},
author = {Mrinal K Ghosh and K S Mallikarjuna Rao},
journal= {arXiv preprint arXiv:math/0406076},
year = {2007}
}
备注
12 pages, no figures, no tables