Viscosity solution of systems of integral-partial differential equations with interconnected obstacles without Monotonicity Conditions and infinite L{é}vy measure
Year: 2026
Type: preprint
Abstract: In this paper, we study a system of second-order integral-partial differential equations with interconnected obstacles. A particular case, is the Hamilton-Jacobi-Bellman (HJB for short) system associated with the optimal switching problem in the jump-diffusion model. Getting rid of the monotonicity condition on the generators with respect to the jump component, we construct a continuous viscosity solution of the system, which is unique in the class of continuous bounded functions. The L{é}vy measure $λ$(.) is of infinite activity. The main tool we use is the associated system of reflected backward stochastic differential equations with jumps and interconnected obstacles for which we also study existence and uniqueness of the solution.
Source: arXiv (Cornell University)
Authors: Hamadène, Said, Mnif, Mohamed, Neffati, Sarra
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7213412939