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arXiv · 1104.2689

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

Said Hamadène·Marie-Amélie Morlais
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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.

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Said Hamadène, Marie-Amélie Morlais. 2011-04-14. Viscosity solutions of systems of PDEs with interconnected obstacles and Multi modes switching problems. https://doi.org/10.1007/s00245-012-9184-y

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