System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains

DOI10.1007/S00245-023-10012-6MaRDI QIDQ6166344zbMATH OpenOpenAlexFDO

Authors Manal Jakani

Publication date 6 July 2023

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-023-10012-6

zbMATH Keywords

viscosity solutionoptimal switchingfully nonlinear partial differential equationsgeneralized backward stochastic differential systemsnon-smooth time-dependent domainobliquely reflected diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Viscosity solutions to PDEs (35D40) Unilateral problems for parabolic systems and systems of variational inequalities with parabolic operators (35K87)

Recommendations

• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
• Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
• Stochastic and partial differential equations on non-smooth time-dependent domains
• Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching

Cites work

• A finite horizon optimal multiple switching problem
• A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
• Boundary sensitivities for diffusion processes in time dependent domains
• Continuity of the Feynman-Kac formula for a generalized parabolic equation
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Management strategies for run-of-river hydropower plants: an optimal switching approach
• Multi-dimensional BSDE with oblique reflection and optimal switching
• On the Starting and Stopping Problem: Application in Reversible Investments
• Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain
• Stochastic and partial differential equations on non-smooth time-dependent domains
• Stochastic differential equations with reflecting boundary conditions
• Switching problem and related system of reflected backward SDEs
• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem without monotonicity condition

Cited in

(3)

• Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
• Stochastic and partial differential equations on non-smooth time-dependent domains
• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions

This page was built for publication: System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6166344)