System of variational inequalities with interconnected obstacles

• Our objective with this paper is to discuss multi-switching problems, arising as variational inequalities, that models decision under uncertainty. We prove general existence theory through monotone scheme and discuss iterative methods for numerical results. We also connect the recently developed models for asset bubbles (which is a non-local problem) to switching problems with two possible switching cases.

Ämnesord

SAMHÄLLSVETENSKAP  -- Utbildningsvetenskap -- Didaktik (hsv//swe)

SOCIAL SCIENCES  -- Educational Sciences -- Didactics (hsv//eng)

Nyckelord

free boundaries

interconnected obstacles

Optimal switching

viscosity solution

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