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Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
Linnaeus University, Faculty of Technology, Department of Physics and Electrical Engineering.ORCID iD: 0000-0003-3111-4820
2023 (English)In: ESAIM: Control, Optimisation and Calculus of Variations , ISSN 1292-8119, E-ISSN 1262-3377, Vol. 29, article id 25Article in journal (Refereed) Published
Abstract [en]

We consider quasi-variational inequalities (QVIs) with general non-local drivers and related systems of reflected backward stochastic differential equations (BSDEs) in a Brownian filtration. We show existence and uniqueness of viscosity solutions to the QVIs by first considering the standard (local) setting and then applying a contraction argument. In addition, the contraction argument yields existence and uniqueness of solutions to the related systems of reflected BSDEs and extends the theory of probabilistic representations of PDEs in terms of BSDEs to our specific setting.

Place, publisher, year, edition, pages
EDP Sciences, 2023. Vol. 29, article id 25
Keywords [en]
Backward stochastic differential equations, impulse control, partial differential equations, viscosity solutions, quasi-variational inequalities
National Category
Mathematics
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-120773DOI: 10.1051/cocv/2023015ISI: 000961181800002Scopus ID: 2-s2.0-85153083672OAI: oai:DiVA.org:lnu-120773DiVA, id: diva2:1757701
Available from: 2023-05-17 Created: 2023-05-17 Last updated: 2023-08-24Bibliographically approved

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Perninge, Magnus

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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf