A probabilistic approach to second order variational inequalities with bilateral constraints
We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of aunique 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.
KeywordsVariational inequalities viscosity solution stochastic game stopping time value saddle point equilibrium
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