Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem
Journal Article
·
· Applied Mathematics and Optimization
- Universite du Maine, LMM (France)
This paper deals with existence and uniqueness of a solution in viscosity sense, for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case is the Hamilton-Jacobi-Bellmann system of the Markovian stochastic optimal m-states switching problem. The switching cost functions depend on (t,x). The main tool is the notion of systems of reflected backward stochastic differential equations with oblique reflection.
- OSTI ID:
- 22156414
- Journal Information:
- Applied Mathematics and Optimization, Vol. 67, Issue 2; Other Information: Copyright (c) 2013 Springer Science+Business Media New York; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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