Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type

Said Hamadene; Xuzhe Zhao

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arXiv · 1507.05013

Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type

Said Hamadene·Xuzhe Zhao

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Abstract

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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Said Hamadene, Xuzhe Zhao. 2015-07-17. Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type. https://arxiv.org/abs/1507.05013

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