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A probabilistic approach to second order variational inequalities with bilateral constraints

Ghosh, Mrinal K and Rao, Mallikarjuna KS (2003) A probabilistic approach to second order variational inequalities with bilateral constraints. In: Proceedings Mathematical Sciences, 113 (4). pp. 431-442.

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Abstract

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.

Item Type: Journal Article
Additional Information: Copyright of this article belongs to Indian Academy of Sciences.
Keywords: Variational inequalities;Viscosity solution;Stochastic game;Stopping time;Value;Saddle point equilibrium
Department/Centre: Division of Physical & Mathematical Sciences > Mathematics
Date Deposited: 29 Mar 2007
Last Modified: 19 Sep 2010 04:35
URI: http://eprints.iisc.ernet.in/id/eprint/9914

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