Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions

DOI10.1016/J.JMAA.2022.126947MaRDI QIDQ2685236zbMATH OpenOpenAlexFDO

Authors Brahim Boufoussi, Manal Jakani, Said Hamadène

Publication date 20 February 2023

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

Full work available at URL https://doi.org/10.1016/j.jmaa.2022.126947

zbMATH Keywords

generalized reflected backward stochastic differential equationsnonlinear Neumann boundary conditionsoptimal switchingvariational inequalitiesviscosity solution of PDEs

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Stochastic analysis (60Hxx) Stochastic systems and control (93Exx)

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Cites work

• A finite horizon optimal multiple switching problem
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• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Multi-dimensional BSDE with oblique reflection and optimal switching
• On the Starting and Stopping Problem: Application in Reversible Investments
• Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain
• Pricing Asset Scheduling Flexibility using Optimal Switching
• Reflected BSDE's with discontinuous barrier and application
• Stochastic differential equations with reflecting boundary conditions
• Switching problem and related system of reflected backward SDEs
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• User’s guide to viscosity solutions of second order partial differential equations
• Valuation of energy storage: an optimal switching approach
• Viscosity solutions of Hamilton-Jacobi equations
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem

Cited in

(8)

• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
• Viscosity solutions for a system of PDEs and optimal switching
• 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
• Well-posedness for a transmission problem connecting first and second-order operators
• A problem of finite-horizon optimal switching and stochastic control for utility maximisation
• Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes

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