Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs

DOI10.1016/j.spa.2017.03.016zbMath1373.35086arXiv1306.3631OpenAlexW2962944597MaRDI QIDQ1679471

Ibrahim Ekren

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

zbMATH Keywords

variational inequalitiesviscosity solutionsreflected backward stochastic differential equationspath-dependent PDEs

Mathematics Subject Classification ID

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)

A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays ⋮ Viscosity solutions to first order path-dependent Hamilton-Jacobi-Bellman equations in Hilbert space ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Wellposedness of second order reflected BSDEs: A new formulation ⋮ Discrete-type approximations for non-Markovian optimal stopping problems: Part I ⋮ Viscosity solutions of path-dependent integro-differential equations ⋮ Viscosity Solutions of Path-Dependent PDEs with Randomized Time ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs

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
• Adapted solution of a backward stochastic differential equation
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected BSDEs and mixed game problem
• 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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