Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem without monotonicity condition
DOI10.3233/ASY-181508zbMath1425.35193arXiv1802.04747WikidataQ114038211 ScholiaQ114038211MaRDI QIDQ4973525
Said Hamadène, Mohammed Mnif, Sarra Neffati
Publication date: 27 November 2019
Published in: Asymptotic Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.04747
viscosity solution; partial differential equations; HJB system; reflected backward stochastic differential equations; interconnected obstacles; multi-modes switching
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
35A01: Existence problems for PDEs: global existence, local existence, non-existence
35D40: Viscosity solutions to PDEs
35Q83: Vlasov equations
35A02: Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness
