Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles of Non-Local Type

被引：0

作者：

Hamadene, Said ^{[1
]}

Zhao, Xuzhe ^{[2
]}

机构：

[1] Univ Maine, LMM, Ave Olivier Messiaen, F-72085 Le Mans 9, France

[2] Guangdong Univ Foreign Studies, Sch Finance, Dept Appl Math, Guangzhou 510420, Guangdong, Peoples R China

来源：

JOURNAL OF DYNAMICS AND DIFFERENTIAL EQUATIONS | 2018年 / 30卷 / 04期

关键词：

Switching zero-sum games; Non-local variational inequalities; Backward stochastic differential equation; Hamilton-Jacobi-Bellman-Isaacs equation; Perron's method; Viscosity solution; SWITCHING PROBLEM; DIFFERENTIAL-EQUATIONS; INTEGRO-PDES; JUMPS;

D O I：

10.1007/s10884-017-9623-1

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we study systems of nonlinear second-order variational inequalities with interconnected bilateral obstacles with non-local terms. They are of min-max and max-min types and related to a multiple modes zero-sum switching game in the jump-diffusion model. Using systems of penalized reflected backward SDEs with jumps and unilateral interconnected obstacles, and their associated deterministic functions, we construct for each system a continuous viscosity solution which is unique in the class of functions with polynomial growth.

引用

页码：1731 / 1756

页数：26

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