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 |
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| 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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