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A probabilistic approach to second order variational inequalities with bilateral constraints

  • Mrinal K. GhoshEmail author
  • K. S. Mallikarjuna Rao
Article

Abstract

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.

Keywords

Variational inequalities viscosity solution stochastic game stopping time value saddle point equilibrium 

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Copyright information

© Indian Academy of Sciences 2003

Authors and Affiliations

  1. 1.Department of MathematicsIndian Institute of ScienceBangaloreIndia
  2. 2.Department of Electrical and Computer EngineeringUniversity of TexasAustinUSA
  3. 3.CMIUniversité de ProvenceMarseilleFrance

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