Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
نویسندگان
چکیده
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. show existence uniqueness viscosity solutions to the QVIs by first considering standard (local) setting then applying contraction argument. In addition, argument yields BSDEs extends theory probabilistic representations PDEs terms our specific setting.
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ژورنال
عنوان ژورنال: ESAIM: Control, Optimisation and Calculus of Variations
سال: 2023
ISSN: ['1262-3377', '1292-8119']
DOI: https://doi.org/10.1051/cocv/2023015