Strong-viscosity solutions: classical and path-dependent PDEs
From MaRDI portal
Publication:2002602
zbMATH Open1428.35079arXiv1505.02927MaRDI QIDQ2002602FDOQ2002602
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
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
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- 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
- Optimal stopping under nonlinear expectation
- 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
- 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
- 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
- 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
- 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)
