Viscosity Solutions of system of PDEs with Interconnected Obstacles and nonlinear Neumann Boundary Conditions
Résumé
This paper investigates the Hamilton-Jacobi-Bellman system of equations associated with the m-states optimal switching problem in finite horizon when the state process lives in a connected bounded closed domain. We show existence and uniqueness of the solution in viscosity sense of the system. We use systems of generalized reflected backward stochastic differential equations with oblique reflection and the Feynman-Kac representation of their solutions in the Markovian framework.
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Viscosity Solutions of system of PDEs with Interconnected Obstacles and nonlinear Neumann Boundary Conditions.pdf (287.12 Ko)
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