Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
DOI10.1016/j.spa.2017.03.016zbMath1373.35086arXiv1306.3631OpenAlexW2962944597MaRDI QIDQ1679471
Publication date: 9 November 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.3631
variational inequalitiesviscosity solutionsreflected backward stochastic differential equationspath-dependent PDEs
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40)
Related Items (10)
Cites Work
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Second order reflected backward stochastic differential equations
- Optimal stopping under nonlinear expectation
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- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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- Functional Itō calculus and stochastic integral representation of martingales
- Dual formulation of second order target problems
- On viscosity solutions of path dependent PDEs
- Reflected BSDE's with discontinuous barrier and application
- A Priori Estimates for Fully Nonlinear Parabolic Equations
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