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 |
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Publication: | Proceedings Mathematical Sciences |
Publisher: | Indian Academy of Sciences |
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.ac.in/id/eprint/9914 |
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