System of variational inequalities with interconnected obstacles

DOI10.1080/00036811.2020.1757076zbMath1492.60101OpenAlexW3020640914MaRDI QIDQ5065523

No author found.

Publication date: 22 March 2022

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10754/662305

zbMATH Keywords

viscosity solutionoptimal switchingfree boundariesinterconnected obstacles

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (2)

Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions ⋮ Management strategies for run-of-river hydropower plants: an optimal switching approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
• Asset price bubbles from heterogeneous beliefs about~mean reversion rates
• Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
• Solvability of monotone systems of fully nonlinear elliptic PDE's
• Systems of convex Hamilton-Jacobi equations with implicit obstacles and the obstacle problem
• A PDE approach to regularity of solutions to finite horizon optimal switching problems
• Wavefront propagation for reaction-diffusion systems of PDE
• Viscosity solutions of fully nonlinear parabolic systems.
• A system of elliptic variational inequalities associated with a stochastic switching game
• Harnack type estimates for nonlinear elliptic systems and applications
• Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates
• Liouville type theorems, monotonicity results and a priori bounds for positive solutions of elliptic systems
• Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
• Iterative scheme for an elliptic non-local free boundary problem
• Finite-Horizon Optimal Multiple Switching with Signed Switching Costs
• A system of parabolic variational inequalities associated with a stochastic switching game
• A Finite Horizon Optimal Multiple Switching Problem
• Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
• Viscosity solutions for monotone systems of second–order elliptic PDES
• A System of Nonlinear Partial Differential Equations Arising in the Optimal Control of Stochastic Systems with Switching Costs
• Viscosity solutions for a system of PDEs and optimal switching
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• Viscosity solutions of nonlinear systems of degenerated elliptic equations of second order

This page was built for publication: System of variational inequalities with interconnected obstacles