A probabilistic approach to second order variational inequalities with bilateral constraints

Ghosh, Mrinal K. ; Mallikarjuna Rao, K. S. (2003) A probabilistic approach to second order variational inequalities with bilateral constraints Proceedings of the Indian Academy of Sciences - Mathematical Sciences, 113 (4). pp. 431-442. ISSN 0253-4142

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Official URL: http://www.ias.ac.in/mathsci/vol113/nov2003/Pm2079...

Related URL: http://dx.doi.org/10.1007/BF02829634

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.

Item Type:Article
Source:Copyright of this article belongs to Indian Academy of Sciences.
Keywords:Variational Inequalities; Viscosity Solution; Stochastic Game; Stopping Time; Value; Saddle Point Equilibrium
ID Code:11979
Deposited On:10 Nov 2010 06:34
Last Modified:16 May 2016 21:23

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