Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem without monotonicity condition

DOI10.3233/ASY-181508zbMath1425.35193arXiv1802.04747WikidataQ114038211 ScholiaQ114038211MaRDI QIDQ4973525

Sarra Neffati, Said Hamadène, Mohammed Mnif

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

zbMATH Keywords

viscosity solutionpartial differential equationsHJB systemreflected backward stochastic differential equationsinterconnected obstaclesmulti-modes switching

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Viscosity solutions to PDEs (35D40) Vlasov equations (35Q83) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

Related Items (3)

On a switching control problem with càdlàg costs ⋮ Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers ⋮ System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains

This page was built for publication: Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem without monotonicity condition