Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles

preprint2012arXivOpen access

Abstract

We study a general class of nonlinear second-order variational inequalities with interconnected bilateral obstacles, related to a multiple modes switching game. Under rather weak assumptions, using systems of penalized unilateral backward SDEs, we construct a continuous viscosity solution of polynomial growth. Moreover, we establish a comparison result which in turn yields uniqueness of the solution.

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