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math.PR2024
Probabilistic Representation for Viscosity Solutions to Double-Obstacle Quasi-Variational Inequalities
Magnus Perninge
We prove the existence and uniqueness of viscosity solutions to quasi-variational inequalities (QVIs) with both upper and lower obstacles. In contrast to most previous works, we al…
math.PR2024★ 1 cited
Optimal Stopping of BSDEs with Constrained Jumps and Related Double Obstacle PDEs
Magnus Perninge
We consider partial differential equations (PDEs) characterized by an upper barrier that depends on the solution itself and a fixed lower barrier, while accommodating a non-local d…