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

DOI10.1007/S00245-012-9184-YMaRDI QIDQ358616zbMATH OpenOpenAlexFDO

Authors 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

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)

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.

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Cited in

(38)

• Minimal solutions of master equations for extended mean field games
• A full balance sheet two-mode optimal switching problem
• Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching
• Viscosity solutions for a system of PDEs and optimal switching
• System of variational inequalities with interconnected obstacles
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• A Brownian optimal switching problem under incomplete information
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