Dynkin Game of Stochastic Differential Equations with Random Coefficients, and Associated Backward Stochastic Partial Differential Variational Inequality.
Shanjian TangZhou YangPublished in: CoRR (2011)
Keyphrases
- stochastic differential equations
- variational inequalities
- nash equilibrium
- maximum a posteriori estimation
- brownian motion
- game theory
- fractional brownian motion
- sensitivity analysis
- convex sets
- additive gaussian noise
- differential equations
- stochastic process
- wavelet coefficients
- boundary conditions
- diffusion process
- fixed point
- non stationary
- wavelet packet
- long range
- heavy tailed
- multiscale
- optimal control
- heavy traffic
- gaussian distribution
- vector valued
- resource allocation
- maximum likelihood
- worst case