B Djehiche, S Hamadene, MA Morlais… - Journal of Mathematical …, 2017 - Elsevier
In this paper, we deal with the solutions of systems of PDEs with bilateral interconnected obstacles of min–max and max–min types. These systems arise naturally in stochastic …
T Klimsiak - Stochastic Processes and their Applications, 2019 - Elsevier
We prove the existence of weak solution for a system of quasi-variational inequalities related to a switching problem with dynamic driven by operator associated with a semi-Dirichlet form …
T Klimsiak - Journal of Evolution Equations, 2018 - Springer
In the paper, we consider the obstacle problem, with one and two irregular barriers, for semilinear evolution equation involving measure data and operator corresponding to a semi …
M Fuhrman, MA Morlais - Stochastic Processes and their Applications, 2020 - Elsevier
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact …
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro- differential equations with interconnected obstacles. This type of problem occurs in the …
S Andronicou, E Milakis - Annali di Matematica Pura ed Applicata (1923-), 2023 - Springer
In this paper, we prove existence and uniqueness of viscosity solutions to the following system: For i∈ 1, 2,⋯, m min {F (y, x, ui (y, x), D ui (y, x), D 2 ui (y, x)), ui (y, x)-max j≠ i (uj (y …
We prove the existence of a unique viscosity solution to certain systems of fully nonlinear parabolic partial differential equations with interconnected obstacles in the setting of …
B Djehiche, A Hamdi - … An International Journal of Probability and …, 2015 - Taylor & Francis
We formulate and solve a finite horizon full balance sheet of a two-mode optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the …
Our objective with this paper is to discuss multi-switching problems, arising as variational inequalities, that models decision under uncertainty. We prove general existence theory …