Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type

DOI10.1007/S10231-013-0325-YzbMATH1302.35226OpenAlexW2051128094MaRDI QIDQ741307FDOQ741307

Authors Niklas L. P. Lundström, Kaj Nyström, Marcus Olofsson

Publication date 11 September 2014

Published in Annali di Matematica Pura ed Applicata. Serie Quarta (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10231-013-0325-y

zbMATH Keywords

obstacle problemreflected backward stochastic differential equationKolmogorov equationsub- and supersolutions

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Regularity of solutions in optimal control (49N60) Comparison principles in context of PDEs (35B51) Viscosity solutions to PDEs (35D40) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20) Unilateral problems for parabolic systems and systems of variational inequalities with parabolic operators (35K87)

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Cites work

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• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem

Cited in

(15)

• Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
• Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
• Management strategies for run-of-river hydropower plants: an optimal switching approach
• Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
• A Brownian optimal switching problem under incomplete information
• System of variational inequalities with interconnected obstacles
• A full balance sheet two-mode optimal switching problem
• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
• Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
• Finite-horizon optimal multiple switching with signed switching costs
• A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
• On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
• Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
• Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions
• Systems of quasi-variational inequalities related to the switching problem

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