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

DOI10.1007/S00245-012-9184-YzbMATH Open1272.93130arXiv1104.2689OpenAlexW3105343238MaRDI QIDQ358616FDOQ358616

Authors: Said Hamadène, Marie-Amélie Morlais 

Publication date: 9 August 2013

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

Abstract: This paper deals with existence and uniqueness, in viscosity sense, of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case of this system is the deterministic version of the Verification Theorem of the Markovian optimal m-states switching problem. The switching cost functions are arbitrary. This problem is connected with the valuation of a power plant in the energy market. The main tool is the notion of systems of reflected BSDEs with oblique reflection.

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

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zbMATH Keywords

backward stochastic differential equationsreal optionsvariational inequalitiesHJB systemswitching strategyviscosity 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)

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Cited In (38)

• Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching
• A full balance sheet two-mode optimal switching problem
• Viscosity solutions for a system of PDEs and optimal switching
• System of variational inequalities with interconnected obstacles
• Stochastic impulse control problem with state and time dependent cost functions
• A Brownian optimal switching problem under incomplete information
• Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
• A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem without monotonicity condition
• On a switching control problem with càdlàg costs
• Finite-horizon optimal multiple switching with signed switching costs
• Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
• 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
• On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
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• Systems of quasi-variational inequalities related to the switching problem
• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
• Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
• Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
• Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
• Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
• Stochastic hybrid differential games and match race problems
• Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
• Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions
• Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
• Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
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• Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type
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• Minimal solutions of master equations for extended mean field games

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