Probabilistic Representation of Viscosity Solutions to Quasi-Variational Inequalities with Non-Local Drivers

Magnus Perninge

Published 2022-10-05Version 1

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.