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- Title
Viscosity solutions for a system of PDEs and optimal switching.
- Authors
EL ASRI, BRAHIM; FAKHOURI, IMADE
- Abstract
In this paper, we study the existence and uniqueness of viscosity solutions for a system of m variational partial differential inequalities with interconnected obstacles. A particular case of this system is the deterministic version of the Verification Theorem of the Markovian optimal m-states optimal switching problem in finite horizon. The switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central valuation in cases where such organizations or states give grants or financial assistance to power plants that promote green energy in their production activity or that uses less polluting modes in their production. Our main tools is an approximation scheme and the notion of systems of reflected backward stochastic differential equations.
- Subjects
VISCOSITY solutions; PARTIAL differential equations; STOCHASTIC differential equations; DIFFERENTIAL equations; MARKOV spectrum
- Publication
IMA Journal of Mathematical Control & Information, 2017, Vol 34, Issue 3, p937
- ISSN
0265-0754
- Publication type
Article
- DOI
10.1093/imamci/dnw004