English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

A Dynkin game is considered for stochastic differential equations with random coefficients. We first apply Qiu and Tang's maximum principle for backward stochastic partial differential equations to generalize a Krylov estimate for the distribution of a Markov process to that of a non-Markov process and establish a generalized Itô-Kunita-Wentzell formula which allows the test function as an Itô process to take values in a Sobolev space. We then prove the verification theorem that the Nash equilibrium point and the value of the Dynkin game are characterized by the strong solution of the associated Hamilton-Jacobi-Bellman-Isaacs equation, which is currently a backward stochastic partial differential variational inequality (BSPDVI) with two obstacles. Finally, we prove the existence and uniqueness result and a comparison theorem for strong solution of the BSPDVI. © 2013 Society for Industrial and Applied Mathematics.

siam journal on control and optimization

Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality