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

DOI10.1007/s00245-012-9184-yzbMath1272.93130arXiv1104.2689MaRDI 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 inequalities; backward stochastic differential equations; real options; switching strategy; HJB system; viscosity solution of PDEs

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49J40: Variational inequalities

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

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