Management strategies for run-of-river hydropower plants: an optimal switching approach

M Olofsson, T Önskog, NLP Lundström - Optimization and Engineering, 2021 - Springer
The mathematical theory for optimal switching is by now relatively well developed, but the
number of concrete applications of this theoretical framework remains few. In this paper, we …

[HTML][HTML] On the equality of solutions of max–min and min–max systems of variational inequalities with interconnected bilateral obstacles

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 …

[HTML][HTML] Systems of quasi-variational inequalities related to the switching problem

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 …

Obstacle problem for evolution equations involving measure data and operator corresponding to 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 …

Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs

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 …

[HTML][HTML] Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching

NLP Lundström, M Olofsson, T Önskog - Journal of Mathematical Analysis …, 2019 - Elsevier
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 …

Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions

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 …

Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions

NLP Lundström, M Olofsson - Applied Mathematics & Optimization, 2022 - Springer
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 …

A full balance sheet two-mode optimal switching problem

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 …

System of variational inequalities with interconnected obstacles

R Barkhudaryan, DA Gomes, H Shahgholian… - Applicable …, 2022 - Taylor & Francis
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 …