On viscosity solutions of path dependent PDEs (Q2438749)

Markovian type backward stochastic differential equations are associated with semilinear parabolic partial differential equations via the nonlinear Feynman-Kac formula. In the non-Markovian case, these backward stochastic differential equations become path dependent. In the present paper, the authors extend the nonlinear Feynman-Kac formula to the non-Markovian case and define the notion of viscosity solutions for path-dependent semilinear parabolic partial differential equations, which can also be interpreted as viscosity solutions of non-Markovian backward stochastic differential equations. Existence, uniqueness, stability and the comparison principle for the viscosity solution are proven.