Add to ORKGAbstract. 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. 1
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...
36 pagesInternational audienceThis paper deals with existence and uniqueness, in viscosity sense, of...
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...
We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partia...
We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partia...
We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partia...
We study a class of nonlinear integrodifferential equations on a subspace of all probability measure...
AbstractGeneral theorems for existence and uniqueness of viscosity solutions for Hamilton–Jacobi–Bel...
AbstractOptimal switching for an abstract Cauchy problem is considered. A type of approximating prob...
The dynamic programming argument leads to various partial differential equations in finite or in inf...
We introduce a stochastic version of the classical Perron’s method to construct viscosity solutions ...
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switchi...
AbstractThe paper treats approximations to stochastic differential equations with both a diffusion a...
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...
15 pagesIn this paper, we establish a new uniqueness result of a (continuous) viscosity solution for...
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...
36 pagesInternational audienceThis paper deals with existence and uniqueness, in viscosity sense, of...
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...
We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partia...
We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partia...
We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partia...
We study a class of nonlinear integrodifferential equations on a subspace of all probability measure...
AbstractGeneral theorems for existence and uniqueness of viscosity solutions for Hamilton–Jacobi–Bel...
AbstractOptimal switching for an abstract Cauchy problem is considered. A type of approximating prob...
The dynamic programming argument leads to various partial differential equations in finite or in inf...
We introduce a stochastic version of the classical Perron’s method to construct viscosity solutions ...
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switchi...
AbstractThe paper treats approximations to stochastic differential equations with both a diffusion a...
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...
15 pagesIn this paper, we establish a new uniqueness result of a (continuous) viscosity solution for...
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...
36 pagesInternational audienceThis paper deals with existence and uniqueness, in viscosity sense, of...
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...