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arXiv · 2609.16812

Viscosity solution of systems of integral-partial differential equations with interconnected obstacles without Monotonicity Conditions and infinite L{é}vy measure

Said Hamadène·Mohamed Mnif·Sarra Neffati
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Abstract

In this paper, we study a system of second-order integral-partial differential equations with interconnected obstacles. A particular case, is the Hamilton-Jacobi-Bellman (HJB for short) system associated with the optimal switching problem in the jump-diffusion model. Getting rid of the monotonicity condition on the generators with respect to the jump component, we construct a continuous viscosity solution of the system, which is unique in the class of continuous bounded functions. The L{é}vy measure $λ$(.) is of infinite activity. The main tool we use is the associated system of reflected backward stochastic differential equations with jumps and interconnected obstacles for which we also study existence and uniqueness of the solution.

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Said Hamadène, Mohamed Mnif, Sarra Neffati. 2026-09-15. Viscosity solution of systems of integral-partial differential equations with interconnected obstacles without Monotonicity Conditions and infinite L{é}vy measure. https://arxiv.org/abs/2609.16812

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