Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching

DOI10.1016/J.JMAA.2018.11.003OpenAlexW2962838610WikidataQ128981912 ScholiaQ128981912MaRDI QIDQ2633720FDOQ2633720

Marcus Olofsson, Niklas L. P. Lundström, Thomas Önskog

Publication date: 10 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.04665

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zbMATH Keywords

regularityvariational inequalityviscosity solutionnonlocal operatoroptimal switching problempartial integro-differential operator

Mathematics Subject Classification ID

Partial differential equations (35-XX) Systems theory; control (93-XX)

Cites Work

• Multi-dimensional BSDE with oblique reflection and optimal switching
• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
• User’s guide to viscosity solutions of second order partial differential equations
• Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
• Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
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Cited In (8)

• System of variational inequalities with interconnected obstacles
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem without monotonicity condition
• System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains
• Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions
• Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
• Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions
• Management strategies for run-of-river hydropower plants: an optimal switching approach

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