A probabilistic approach to second order variational inequalities with bilateral constraints

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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.
12 pages, no figures, no tables

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Analysis of PDEs, Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/71434

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0406076
 http://arxiv.org/abs/math/0406076
 Proc. Indian Acad. Sci. (Math. Sci.), Vol. 113, No. 4, November 2003, pp. 431-442

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arXiv