Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process

DOI10.1007/s00030-015-0338-xzbMath1342.49024arXiv1408.2759OpenAlexW1821665720MaRDI QIDQ889849

Xuxhe Zhao, Said Hamadène

Publication date: 9 November 2015

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.2759

zbMATH Keywords

Lévy processesviscosity solutionsreflected backward stochastic differential equationsinterconnected obstaclesmulti-modes switchingvariational integral-partial differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55) Integro-partial differential equations (35R09) PDEs in connection with control and optimization (35Q93)

Related Items

Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type ⋮ Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching ⋮ Systems of quasi-variational inequalities related to the switching problem ⋮ Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions ⋮ Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions ⋮ System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains ⋮ BSDE with rcll reflecting barrier driven by a Lévy process ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Predictable representation for time inhomogeneous Lévy processes and BSDEs ⋮ Integro-partial differential equations with singular terminal condition

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