Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness

DOI10.1007/s00229-014-0683-9zbMath1302.49012arXiv1306.4520MaRDI QIDQ470888

Marcus Olofsson, Kaj Nyström, Niklas L. P. Lundström

Publication date: 13 November 2014

Published in: Manuscripta Mathematica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.4520

zbMATH Keywords

variational inequalities; Lévy processes; viscosity solutions; optimal switching problems; integro-partial differential operator

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

49J40: Variational inequalities

45G15: Systems of nonlinear integral equations

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

35R09: Integro-partial differential equations

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