Strong-viscosity solutions: classical and path-dependent PDEs

zbMATH Open1428.35079arXiv1505.02927MaRDI QIDQ2002602FDOQ2002602

Authors: Andrea Cosso, Francesco Russo 

Publication date: 12 July 2019

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

Abstract: The aim of the present work is the introduction of a viscosity type solution, called strong-viscosity solution to distinguish it from the classical one, with the following peculiarities: it is a purely analytic object; it can be easily adapted to more general equations than classical partial differential equations. First, we introduce the notion of strong-viscosity solution for semilinear parabolic partial differential equations, defining it, in a few words, as the pointwise limit of classical solutions to perturbed semilinear parabolic partial differential equations; we compare it with the standard definition of viscosity solution. Afterwards, we extend the concept of strong-viscosity solution to the case of semilinear parabolic path-dependent partial differential equations, providing an existence and uniqueness result.

Full work available at URL: https://arxiv.org/abs/1505.02927

Recommendations

• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• On viscosity solutions of path dependent PDEs
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Perron's method for viscosity solutions of semilinear path dependent PDEs

zbMATH Keywords

existence and uniquenesspointwise limit of classical solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to PDEs (35D40) Semilinear parabolic equations (35K58) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

Cites Work

• Functional Itō calculus and stochastic integral representation of martingales
• On viscosity solutions of path dependent PDEs
• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• User’s guide to viscosity solutions of second order partial differential equations
• Title not available (Why is that?)
• Optimal stopping under nonlinear expectation
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Forward, backward and symmetric stochastic integration
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Title not available (Why is that?)
• Stochastic Equations in Infinite Dimensions
• Calcul stochastique et problèmes de martingales
• A weak version of path-dependent functional Itô calculus
• On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
• Title not available (Why is that?)
• Second order PDE's in finite and infinite dimension
• Randomized and backward SDE representation for optimal control of non-Markovian SDEs
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Functional Itô calculus
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• Path-dependent equations and viscosity solutions in infinite dimension
• An infinite-dimensional approach to path-dependent Kolmogorov equations
• Uniformly elliptic PDEs with bounded, measurable coefficients
• Stochastic Optimal Control in Infinite Dimension
• Title not available (Why is that?)
• Elements of Stochastic Calculus via Regularization
• Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition
• Weak Dirichlet processes with a stochastic control perspective
• Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. V: Unbounded linear terms and \(B\)-continuous solutions
• Title not available (Why is that?)
• The generalized covariation process and Itô formula
• Uniqueness in the Dirichlet problem for some elliptic operators with discontinuous coefficients
• Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
• Good and viscosity solutions of fully nonlinear elliptic equations

Cited In (18)

• About classical solutions of the path-dependent heat equation
• Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
• On smooth approximations in the Wasserstein space
• Path-dependent Hamilton-Jacobi equations: the minimax solutions revised
• Semilinear Kolmogorov equations on the space of continuous functions via BSDEs
• Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
• Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs
• Survey on path-dependent PDEs
• Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
• Path-dependent martingale problems and additive functionals
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
• A martingale approach for fractional Brownian motions and related path dependent PDEs
• On viscosity solutions of path-dependent Hamilton-Jacobi-Bellman-Isaacs equations for fractional-order systems
• Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations

This page was built for publication: Strong-viscosity solutions: classical and path-dependent PDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2002602)