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

DOI10.1007/s10231-013-0325-yzbMath1302.35226MaRDI QIDQ741307

Kaj Nyström, Niklas L. P. Lundström, 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

sub- and supersolutions; obstacle problem; Kolmogorov equation; reflected backward stochastic differential equation

Mathematics Subject Classification ID

35B65: Smoothness and regularity of solutions to PDEs

49N60: Regularity of solutions in optimal control

35R60: PDEs with randomness, stochastic partial differential equations

49J20: Existence theories for optimal control problems involving partial differential equations

35K70: Ultraparabolic equations, pseudoparabolic equations, etc.

35D40: Viscosity solutions to PDEs

35B51: Comparison principles in context of PDEs

35K87: Unilateral problems for parabolic systems and systems of variational inequalities with parabolic operators

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