Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem

DOI10.1007/s00245-012-9184-yzbMath1272.93130arXiv1104.2689OpenAlexW3105343238MaRDI QIDQ358616

Said Hamadène, Marie-Amélie Morlais

Publication date: 9 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.2689

zbMATH Keywords

variational inequalitiesbackward stochastic differential equationsreal optionsswitching strategyHJB systemviscosity solution of PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Related Items (27)

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