Semigroup solution of path-dependent second-order parabolic partial differential equations (Q1794086)
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English | Semigroup solution of path-dependent second-order parabolic partial differential equations |
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Semigroup solution of path-dependent second-order parabolic partial differential equations (English)
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15 October 2018
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Summary: We apply a new series representation of martingales, developed by Malliavin calculus, to characterize the solution of the second-order path-dependent partial differential equations (PDEs) of parabolic type. For instance, we show that the generator of the semigroup characterizing the solution of the path-dependent heat equation is equal to one-half times the second-order Malliavin derivative evaluated along the frozen path.
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Malliavin derivative
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parabolic partial differential equations
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path-dependent heat equation
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