Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem

This paper deals with existence and uniqueness of a solution in viscosity sense, for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case is the Hamilton-Jacobi-Bellmann system of the Markovian stochastic optimal m-states switching problem. The switching cost functions depend on (t,x). The main tool is the notion of systems of reflected backward stochastic differential equations with oblique reflection.     

A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem

In this study, we consider the exponential utility maximization problem in the context of a jump–diffusion model. To solve this problem, we rely on the dynamic programming principle to express the value process of this problem in terms of the solution of a quadratic BSDE with jumps. Since the quadratic BSDE¹ under study is driven by both a Wiener process and a Poisson random measure having a Lévy measure with infinite mass, our main task is therefore to establish a new existence result for the specific BSDE introduced.