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/S00245-023-10012-6zbMATH Open1518.35224OpenAlexW4313306532MaRDI QIDQ6166344FDOQ6166344

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

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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)

Cites Work

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

Cited In (3)

• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
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