Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II (Q317470): Difference between revisions

This paper provides a well-posedness result for the viscosity solution to the nonlinear path-dependent PDE. The article extends the previous work done by the same authors in the paper [\textit{I. Ekren} et al., Ann. Probab. 44, 1212--1253 (2016; Zbl 1375.35250)], in which they introduced the notion of viscosity solutions for fully nonlinear parabolic path-dependent PDEs. Firstly, the authors introduce the general framework and recall the definition of viscosity solutions introduced in the previous paper. After that, they extend the partial comparison principle for viscosity solutions proven in the previous paper, by slightly weakening the smooth requirement of the classical (semi-)solutions. The proof relies on a similar approach to the Perron's method in standard PDE viscosity theory. It is assumed that the viscosity solution can be approximated by a sequence of classical supersolutions and a sequence of classical subsolutions. Sufficient conditions for this assumption to hold are also provided.