화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.67, No.2, 163-196, 2013
Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem
This paper deals with existence and uniqueness of a solution in viscosity sense, for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case is the Hamilton-Jacobi-Bellmann system of the Markovian stochastic optimal m-states switching problem. The switching cost functions depend on (t,x). The main tool is the notion of systems of reflected backward stochastic differential equations with oblique reflection.