Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality.
Zhou YangShanjian TangPublished in: SIAM J. Control. Optim. (2013)
Keyphrases
- stochastic differential equations
- variational inequalities
- nash equilibrium
- maximum a posteriori estimation
- brownian motion
- game theory
- fractional brownian motion
- sensitivity analysis
- additive gaussian noise
- convex sets
- fixed point
- differential equations
- stochastic process
- wavelet coefficients
- primal dual
- heavy traffic
- queue length
- vector valued
- heavy tailed
- boundary conditions
- long range
- optimal control
- non stationary
- stochastic processes
- higher order
- diffusion process