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A probabilistic approach to second order variational inequalities with bilateral constraints

Mrinal K Ghosh·K S Mallikarjuna Rao
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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.

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Mrinal K Ghosh, K S Mallikarjuna Rao. 2004-06-04. A probabilistic approach to second order variational inequalities with bilateral constraints. https://arxiv.org/abs/math/0406076

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