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

DOI10.1051/cocv/2023015zbMath1509.60119arXiv2210.02417OpenAlexW4323321549MaRDI QIDQ6102343

Magnus Perninge

Publication date: 8 May 2023

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.02417

zbMATH Keywords

backward stochastic differential equationsquasi-variational inequalitiespartial differential equationsviscosity solutionsimpulse control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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