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Article Dans Une Revue Applied Mathematics and Optimization Année : 2013

Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem

Résumé

This paper deals with existence and uniqueness, in viscosity sense, of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case of this system is the deterministic version of the Verification Theorem of the Markovian optimal m-states switching problem. The switching cost functions are arbitrary. This problem is connected with the valuation of a power plant in the energy market. The main tool is the notion of systems of reflected BSDEs with oblique reflection.
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Dates et versions

hal-01835115 , version 1 (11-07-2018)

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Marie Amélie Morlais, Said Hamadène. Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem. Applied Mathematics and Optimization, 2013, 67 (2), pp.163-196. ⟨10.1007/s00245-012-9184-y⟩. ⟨hal-01835115⟩
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