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.
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收藏
页码：1731 / 1756
页数：26
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