Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5774903 | Journal of Mathematical Analysis and Applications | 2017 | 28 Pages |
Abstract
In this paper, we deal with the solutions of systems of PDEs with bilateral interconnected obstacles of min-max and max-min types. These systems arise naturally in stochastic switching zero-sum game problems. We show that when the switching costs of one side are regular, the solutions of the min-max and max-min systems coincide. Then, this common viscosity solution is related to a multi-dimensional doubly reflected BSDE with bilateral interconnected obstacles. Finally, its relationship with the values of a zero-sum switching game is studied.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Boualem Djehiche, Said Hamadène, Marie-Amélie Morlais, Xuzhe Zhao,