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Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
Umeå universitet, Teknisk-naturvetenskapliga fakulteten, Institutionen för matematik och matematisk statistik.
2019 (Engelska)Ingår i: Journal of Mathematical Analysis and Applications, ISSN 0022-247X, E-ISSN 1096-0813, Vol. 475, nr 1, s. 13-31Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

We study viscosity solutions to a system of nonlinear degenerate parabolic partial integrodifferential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of the underlying state variable is described by an n-dimensional L´evy process. We first establish a continuous dependence estimate for viscosity sub- and supersolutions to the system under mild regularity, growth and structural assumptions on the partial integro-differential operator and on the obstacles and terminal conditions. Using the continuous dependence estimate, we obtain the comparison principle and uniqueness of viscosity solutions as well as Lipschitz regularity in the spatial variables. Our main contribution is construction of suitable families of viscosity sub- and supersolutions which we use as “barrier functions” to prove Ho¨lder continuity in the time variable, and, through Perron’s method, existence of a unique viscosity solution. This paper generalizes parts of the results of Biswas, Jakobsen and Karlsen (2010) and of Lundström, Nyström and Olofsson (2014) to hold for more general systems of equations.

Ort, förlag, år, upplaga, sidor
Elsevier, 2019. Vol. 475, nr 1, s. 13-31
Nyckelord [en]
variational inequality, existence, viscosity solution, nonlocal operator, partial integro-differential operator, Lévy process, jump diffusion, optimal switching problem, regularity, continuous dependence, well posed
Nationell ämneskategori
Matematik Matematisk analys
Identifikatorer
URN: urn:nbn:se:umu:diva-153270DOI: 10.1016/j.jmaa.2018.11.003ISI: 000464490800002OAI: oai:DiVA.org:umu-153270DiVA, id: diva2:1263010
Tillgänglig från: 2018-11-14 Skapad: 2018-11-14 Senast uppdaterad: 2019-06-12Bibliografiskt granskad

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Lundström, Niklas L.P.

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Institutionen för matematik och matematisk statistik
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Journal of Mathematical Analysis and Applications
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Totalt: 142 träffar
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