Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
From MaRDI portal
Publication:470888
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
variational inequalities; Lévy processes; viscosity solutions; optimal switching problems; integro-partial differential operator
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
Related Items
System of variational inequalities with interconnected obstacles, Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions, Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions, Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form, Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions, Management strategies for run-of-river hydropower plants: an optimal switching approach, Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs, On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles, Systems of quasi-variational inequalities related to the switching problem, Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching, 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
Cites Work
- Unnamed Item
- Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
- 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