Path-dependent equations and viscosity solutions in infinite dimension

DOI10.1214/17-AOP1181MaRDI QIDQ1747749

Salvatore Federico, Fausto Gozzi, Mauro Rosestolato, Nizar Touzi, Andrea Cosso

Publication date: 27 April 2018

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.05648

zbMATH Keywords

viscosity solutionspartial differential equations in infinite dimensionpath-dependent partial differential equationspath-dependent stochastic differential equations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Viscosity solutions to PDEs (35D40)

Related Items (19)

A Stochastic Model of Economic Growth in Time-Space ⋮ 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 ⋮ Optimal control for stochastic Volterra equations with multiplicative Lévy noise ⋮ Markovian integral equations ⋮ Partial smoothing of delay transition semigroups acting on special functions ⋮ Robust Portfolio Choice with Sticky Wages ⋮ Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs ⋮ Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions ⋮ Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations ⋮ About classical solutions of the path-dependent heat equation ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Strong-viscosity solutions: classical and path-dependent PDEs ⋮ Semilinear Kolmogorov equations on the space of continuous functions via BSDEs ⋮ Viscosity Solutions of Path-Dependent PDEs with Randomized Time ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations ⋮ On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs

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