Viscosity solutions for systems of parabolic variational inequalities

DOI10.3150/09-BEJ204zbMath1455.35311arXiv0807.4415OpenAlexW3103192178MaRDI QIDQ605043

Lucian Maticiuc, Etienne Pardoux, Aurel Răşcanu, Adrian Zalinescu

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.4415

zbMATH Keywords

Feynman-Kac formulaviscosity solutionssystems of variational inequalities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with multivalued right-hand sides (35R70) Viscosity solutions to PDEs (35D40) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)

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Reflected BSDEs in non-convex domains ⋮ Continuity of the Feynman–Kac formula for a generalized parabolic equation ⋮ The optimal control problem associated with multi-valued stochastic differential equations with jumps ⋮ Multi-dimensional path-dependent forward-backward stochastic variational inequalities ⋮ A stochastic approach to a multivalued Dirichlet-Neumann problem ⋮ Reflected BSDEs in time-dependent convex regions ⋮ Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality ⋮ Feynman–Kac formulas for regime-switching jump diffusions and their applications ⋮ Multivalued backward stochastic differential equations with oblique subgradients ⋮ A stochastic approach to a new type of parabolic variational inequalities

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