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Viscosity solution of systems of integral-partial differential equations with interconnected obstacles without Monotonicity Conditions and infinite L{é}vy measure

Hamadène, Said et al.
arXiv (OAI Expanded) · Papers
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analysis-of-pdesprobability
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
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