A Probabilistic Approach to Second Order Variational Inequalities with Bilateral Constraints

Proceedings Mathematical Sciences

Mrinal K Ghosh²  K S Mallikarjuna Rao¹ 

[1] Department of Electrical and Computer Engineering, University of Texas, Austin, TX , USA$$;Department of Mathematics, Indian Institute of Science, Bangalore 0 0, India$$

关键词: Variational inequalities;    viscosity solution;    stochastic game;    stopping time;    value;    saddle point equilibrium.;   

DOI  :  

学科分类：数学（综合）

来源: Indian Academy of Sciences

【 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.

【 授权许可】

Unknown