Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
DOI10.1007/S10231-013-0325-YzbMATH Open1302.35226OpenAlexW2051128094MaRDI QIDQ741307FDOQ741307
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
Recommendations
- Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
- A PDE approach to regularity of solutions to finite horizon optimal switching problems
- Comparison theorems for viscosity solutions of a system of quasivariational inequalities with application to optimal control with switching costs
- Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
- Viscosity solutions for a system of PDEs and optimal switching
obstacle problemreflected backward stochastic differential equationKolmogorov equationsub- and supersolutions
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)
Cites Work
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Multi-dimensional BSDE with oblique reflection and optimal switching
- Hypoelliptic second order differential equations
- Optimal Switching over Multiple Regimes
- Title not available (Why is that?)
- User’s guide to viscosity solutions of second order partial differential equations
- Title not available (Why is that?)
- Adapted solution of a backward stochastic differential equation
- Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
- Switching problem and related system of reflected backward SDEs
- Title not available (Why is that?)
- Title not available (Why is that?)
- Schauder estimates, Harnack inequality and Gaussian lower bound for Kolmogorov-type operators in non-divergence form
- 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
- Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
- ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
- A PDE approach to regularity of solutions to finite horizon optimal switching problems
Cited In (15)
- Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems
- A full balance sheet two-mode optimal switching problem
- System of variational inequalities with interconnected obstacles
- A Brownian optimal switching problem under incomplete information
- Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
- Finite-horizon optimal multiple switching with signed switching costs
- Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions
- On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
- Systems of quasi-variational inequalities related to the switching problem
- Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
- Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
- Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
- A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
- Management strategies for run-of-river hydropower plants: an optimal switching approach
This page was built for publication: Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q741307)
