Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
type: Item
instance of: scholarly article
title: Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
zbMATH Open document ID: 1302.35226
author: Niklas L. P. Lundström
author: Kaj Nyström
author: Marcus Olofsson
published in: Annali di Matematica Pura ed Applicata. Serie Quarta
publication date: 2014-09-11T00:00:00Z
Mathematics Subject Classification ID: 35K87
Mathematics Subject Classification ID: 49J20
Mathematics Subject Classification ID: 49N60
Mathematics Subject Classification ID: 35D40
Mathematics Subject Classification ID: 35R60
Mathematics Subject Classification ID: 35K70
Mathematics Subject Classification ID: 35B51
Mathematics Subject Classification ID: 35B65
zbMATH DE Number: 6342902
zbMATH Keywords: obstacle problem
zbMATH Keywords: Kolmogorov equation
zbMATH Keywords: reflected backward stochastic differential equation
zbMATH Keywords: sub- and supersolutions
MaRDI profile type: Publication
full work available at URL: s10231-013-0325-y
OpenAlex ID: W2051128094
cites work: A PDE approach to regularity of solutions to finite horizon optimal switching problems
cites work: Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
cites work: User’s guide to viscosity solutions of second order partial differential equations
cites work: Schauder estimates, Harnack inequality and Gaussian lower bound for Kolmogorov-type operators in non-divergence form
cites work: ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
cites work: A Finite Horizon Optimal Multiple Switching Problem
cites work: The finite horizon optimal multi-modes switching problem: the viscosity solution approach
cites work: Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
cites work: Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
cites work: Multi-dimensional BSDE with oblique reflection and optimal switching
cites work: Switching problem and related system of reflected backward SDEs
cites work: Hypoelliptic second order differential equations
cites work: Q3978270
cites work: Reflected solutions of backward SDE's, and related obstacle problems for PDE's
cites work: Q4322913
cites work: Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators
cites work: Adapted solution of a backward stochastic differential equation
cites work: Q4029028
cites work: Optimal Switching over Multiple Regimes
cites work: Q3997782
DOI: 10.1007/S10231-013-0325-Y
description: scientific article; zbMATH DE number 6342902