Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers

IF 1.3 3区 数学 Q4 AUTOMATION & CONTROL SYSTEMS
M. Perninge
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引用次数: 0

Abstract

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.
非局部驱动拟变分不等式粘度解的概率表示
研究布朗滤波中具有一般非局部驱动的拟变分不等式(QVIs)和相关的反射倒向随机微分方程(BSDEs)系统。通过首先考虑标准(局部)设置,然后应用收缩论证,我们证明了QVIs粘度解的存在性和唯一性。此外,收缩论证给出了反射BSDEs的相关系统解的存在唯一性,并将PDEs在BSDEs中的概率表示理论推广到我们的具体设置中。
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来源期刊
Esaim-Control Optimisation and Calculus of Variations
Esaim-Control Optimisation and Calculus of Variations Mathematics-Computational Mathematics
自引率
7.10%
发文量
77
期刊介绍: ESAIM: COCV strives to publish rapidly and efficiently papers and surveys in the areas of Control, Optimisation and Calculus of Variations. Articles may be theoretical, computational, or both, and they will cover contemporary subjects with impact in forefront technology, biosciences, materials science, computer vision, continuum physics, decision sciences and other allied disciplines. Targeted topics include: in control: modeling, controllability, optimal control, stabilization, control design, hybrid control, robustness analysis, numerical and computational methods for control, stochastic or deterministic, continuous or discrete control systems, finite-dimensional or infinite-dimensional control systems, geometric control, quantum control, game theory; in optimisation: mathematical programming, large scale systems, stochastic optimisation, combinatorial optimisation, shape optimisation, convex or nonsmooth optimisation, inverse problems, interior point methods, duality methods, numerical methods, convergence and complexity, global optimisation, optimisation and dynamical systems, optimal transport, machine learning, image or signal analysis; in calculus of variations: variational methods for differential equations and Hamiltonian systems, variational inequalities; semicontinuity and convergence, existence and regularity of minimizers and critical points of functionals, relaxation; geometric problems and the use and development of geometric measure theory tools; problems involving randomness; viscosity solutions; numerical methods; homogenization, multiscale and singular perturbation problems.
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