On the Equality of Solutions of Max-Min and Min-Max Systems of Variational Inequalities with Interconnected Bilateral Obstacles

Said Hamadene (Universite du Maine)

G.205,

In this paper we deal with the solutions of systems of PDEs with bilateral inter-connected obstacles of min-max and max-min types. These systems arise naturally in stochastic switching zero-sum game problems. We show that when the switching costs of one side are regular, the solutions of the min-max and max-min systems coincide. Furthermore, this solution is identified as the value function of a zero-sum switching game.

The paper is currently available on Arxiv at: arXiv:1408.4282

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