论文标题
非本地驱动因素的粘度解决方案粘度解决方案的概率表示
Probabilistic Representation of Viscosity Solutions to Quasi-Variational Inequalities with Non-Local Drivers
论文作者
论文摘要
我们考虑布朗过滤中反射的后退随机微分方程（BSDE）的一般非本地驱动因素和相关系统的准变量不平等（QVI）。我们通过首先考虑标准（本地）设置，然后应用收缩参数来显示粘度解决方案对QVI的存在和独特性。此外，收缩论证将解决方案的存在和唯一性在反射BSDE的相关系统中产生，并将PDE的概率表示理论扩展到我们的特定环境中。
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. We show existence and uniqueness of viscosity solutions to the QVIs by first considering the standard (local) setting and then applying a contraction argument. In addition, the contraction argument yields existence and uniqueness of solutions to the related systems of reflected BSDEs and extends the theory of probabilistic representations of PDEs in terms of BSDEs to our specific setting.
