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

DOI10.1007/s00229-014-0683-9zbMath1302.49012arXiv1306.4520OpenAlexW2047143952MaRDI 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 inequalitiesLévy processesviscosity solutionsoptimal switching problemsintegro-partial differential operator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Variational inequalities (49J40) Systems of nonlinear integral equations (45G15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Integro-partial differential equations (35R09)

Related Items (12)

Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching ⋮ System of variational inequalities with interconnected obstacles ⋮ Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions ⋮ On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles ⋮ Management strategies for run-of-river hydropower plants: an optimal switching approach ⋮ Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form ⋮ Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions ⋮ Systems of quasi-variational inequalities related to the switching problem ⋮ Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions ⋮ A solvable singular control problem driven by a jump diffusion process with applications ⋮ Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs

Cites Work

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• Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Switching problem and related system of reflected backward SDEs
• Multi-dimensional BSDE with oblique reflection and optimal switching
• A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
• A Finite Horizon Optimal Multiple Switching Problem
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• Optimal stopping, free boundary, and American option in a jump-diffusion model

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