Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II (Q317470): Difference between revisions
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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. | |||
Property / review text: 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. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Iulian Stoleriu / rank | |||
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Property / Mathematics Subject Classification ID: 35K55 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 35D40 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 35K10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6631778 / rank | |||
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Property / zbMATH Keywords | |||
comparison principle | |||
Property / zbMATH Keywords: comparison principle / rank | |||
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Property / zbMATH Keywords | |||
viscosity solutions | |||
Property / zbMATH Keywords: viscosity solutions / rank | |||
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nonlinear expectation | |||
Property / zbMATH Keywords: nonlinear expectation / rank | |||
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path dependent PDEs | |||
Property / zbMATH Keywords: path dependent PDEs / rank | |||
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Property / zbMATH Keywords | |||
Perron's approach | |||
Property / zbMATH Keywords: Perron's approach / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1210.0007 / rank | |||
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Property / cites work | |||
Property / cites work: Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations / rank | |||
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Property / cites work: On viscosity solutions of path dependent PDEs / rank | |||
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Property / OpenAlex ID | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 09:53, 30 July 2024
scientific article
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English | Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II |
scientific article |
Statements
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II (English)
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30 September 2016
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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.
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comparison principle
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viscosity solutions
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nonlinear expectation
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path dependent PDEs
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Perron's approach
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