Affordable Access

Publisher Website

Viscosity solutions of systems of PDEs with interconnected obstacles and Multi modes switching problems

Authors
  • Hamadène, Said
  • Morlais, Marie-Amélie
Type
Preprint
Publication Date
Dec 09, 2011
Submission Date
Apr 14, 2011
Identifiers
DOI: 10.1007/s00245-012-9184-y
Source
arXiv
License
Yellow
External links

Abstract

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.

Report this publication

Statistics

Seen <100 times