| dc.date.accessioned | 2013-03-12T08:16:43Z | |
| dc.date.available | 2013-03-12T08:16:43Z | |
| dc.date.issued | 2009 | en_US |
| dc.date.submitted | 2009-11-12 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10489 | |
| dc.description.abstract | We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partial differential equations (IPDEs) related to stochastic optimal switching and control problems or stochastic games. In the case of stochastic optimal switching and control, we prove via dynamic programming methods that the value function is a viscosity solution of the IPDEs. In our setting the value functions or the solutions of the IPDEs are not smooth, so classical verification theorems do not apply. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2008). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | VISCOSITY SOLUTIONS FOR A SYSTEM OF INTEGRO-PDES AND CONNECTIONS TO OPTIMAL SWITCHING AND CONTROL OF JUMP-DIFFUSION PROCESSES | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-12 | en_US |
| dc.rights.holder | Copyright 2008 The Author(s) | |
| dc.creator.author | Biswas, Imran H. | en_US |
| dc.creator.author | Jakobsen, Espen R. | en_US |
| dc.creator.author | Karlsen, Kenneth H. | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23448 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 96764 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10489/1/pm09-08.pdf | |