Systems of Integro-PDEs with Interconnected Obstacles and Multi-Modes Switching Problem Driven by Lévy Process (1408.2759v3)

Abstract: In this paper we show existence and uniqueness of the solution in viscosity sense for a system of nonlinear $m$ variational integral-partial differential equations with interconnected obstacles whose coefficients $(f_i){i=1,\cdots, m}$ depend on $(u_j){j=1,\cdots,m}$. From the probabilistic point of view, this system is related to optimal stochastic switching problem when the noise is driven by a L\'evy process. The switching costs depend on $(t,x)$. As a by-product of the main result we obtain that the value function of the switching problem is continuous and unique solution of its associated Hamilton-Jacobi-BeLLMan system of equations. The main tool we used is the notion of systems of reflected BSDEs with oblique reflection driven by a L\'evy process.