Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
From MaRDI portal
Publication:2073223
Abstract: We address our interest to the development of a theory of viscosity solutions {`a} la Crandall-Lions for path-dependent partial differential equations (PDEs), namely PDEs in the space of continuous paths C([0, T ]; R^d). Path-dependent PDEs can play a central role in the study of certain classes of optimal control problems, as for instance optimal control problems with delay. Typically, they do not admit a smooth solution satisfying the corresponding HJB equation in a classical sense, it is therefore natural to search for a weaker notion of solution. While other notions of generalized solution have been proposed in the literature, the extension of the Crandall-Lions framework to the path-dependent setting is still an open problem. The question of uniqueness of the solutions, which is the more delicate issue, will be based on early ideas from the theory of viscosity solutions and a suitable variant of Ekeland's variational principle. This latter is based on the construction of a smooth gauge-type function, where smooth is meant in the horizontal/vertical (rather than Fr{'e}chet) sense. In order to make the presentation more readable, we address the path-dependent heat equation, which in particular simplifies the smoothing of its natural "candidate" solution. Finally, concerning the existence part, we provide a new proof of the functional It{^o} formula under general assumptions, extending earlier results in the literature.
Recommendations
- On viscosity solutions of path dependent PDEs
- An Overview of Viscosity Solutions of Path-Dependent PDEs
- Path-dependent equations and viscosity solutions in infinite dimension
- Viscosity solutions of path-dependent integro-differential equations
- Viscosity solutions of path-dependent PDEs with randomized time
- Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
- Strong-viscosity solutions: classical and path-dependent PDEs
Cites work
- \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
- i-smooth analysis. Theory and applications
- A Smooth Variational Principle With Applications to Subdifferentiability and to Differentiability of Convex Functions
- A stochastic control problem with delay arising in a pension fund model
- A weak version of path-dependent functional Itô calculus
- About classical solutions of the path-dependent heat equation
- An infinite-dimensional approach to path-dependent Kolmogorov equations
- Backward stochastic differential equations. From linear to fully nonlinear theory
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
- Change of variable formulas for non-anticipative functionals on path space
- Clark-Ocone type formula for non-semimartingales with finite quadratic variation
- Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs
- Comparison of viscosity solutions of semilinear path-dependent PDEs
- Convergence of stochastic processes
- Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
- Ergodicity for Infinite Dimensional Systems
- Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions
- Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
- Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
- Functional Itō calculus and stochastic integral representation of martingales
- Functional Kolmogorov equations
- Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes
- Generalized covariation for Banach space valued processes, Itō formula and applications
- Good and viscosity solutions of fully nonlinear elliptic equations
- Hamilton-Jacobi equations in infinite dimensions. I: Uniqueness of viscosity solutions
- History path dependent optimal control and portfolio valuation and management
- HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks
- HJB equations for the optimal control of differential equations with delays and state constraints. I: Regularity of viscosity solutions
- scientific article; zbMATH DE number 3646080 (Why is no real title available?)
- scientific article; zbMATH DE number 5012789 (Why is no real title available?)
- scientific article; zbMATH DE number 3936125 (Why is no real title available?)
- scientific article; zbMATH DE number 3672062 (Why is no real title available?)
- scientific article; zbMATH DE number 3733703 (Why is no real title available?)
- scientific article; zbMATH DE number 3736487 (Why is no real title available?)
- scientific article; zbMATH DE number 15045 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 696902 (Why is no real title available?)
- scientific article; zbMATH DE number 1121854 (Why is no real title available?)
- scientific article; zbMATH DE number 2075140 (Why is no real title available?)
- scientific article; zbMATH DE number 1374044 (Why is no real title available?)
- scientific article; zbMATH DE number 2096729 (Why is no real title available?)
- Linear-quadratic mean field Stackelberg games with state and control delays
- Minimax solutions of functional equations of the Hamilton-Jacobi type for hereditary systems
- On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
- On stationary solutions of a stochastic differential equation
- On the Hamilton-Jacobi-Bellman equations
- On the Hamilton-Jacobi-Bellmann equations in Banach spaces
- On the variational principle
- On viscosity solutions of path dependent PDEs
- Optimal control of a delayed HIV model
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Optimal control problems with time delays: two case studies in biomedicine
- Optimal policy and consumption smoothing effects in the time-to-build AK model
- Path-dependent equations and viscosity solutions in infinite dimension
- Path-dependent Hamilton-Jacobi equations in infinite dimensions
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
- Quadratic Control of Evolution Equations with Delays in Control
- Qualitative behaviour of stochastic delay equations with a bounded memory
- Some Solvable Stochastic Control Problems With Delay
- Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations
- Stochastic Optimal Control in Infinite Dimension
- Strong-viscosity solutions: classical and path-dependent PDEs
- Systemic risk and stochastic games with delay
- Systems with Delays
- Techniques of variational analysis
- The covariation for Banach space valued processes and applications
- The functional Itō formula under the family of continuous semimartingale measures
- The Infinite Time Quadratic Control Problem for Linear Systems with State and Control Delays: An Evolution Equation Approach
- Theory, stochastic stability and applications of stochastic delay differential equations: a survey of results
- User’s guide to viscosity solutions of second order partial differential equations
- Viscosity solution of nonanticipating Hamilton-Jacobi equations
- Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
- Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. III: Uniqueness of viscosity solutions for general second-order equations
- Viscosity Solutions of Hamilton-Jacobi Equations
- When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
Cited in
(17)- A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
- Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
- Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations
- Nonlinear continuous semimartingales
- Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
- Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability
- Survey on path-dependent PDEs
- Mean viability theorems and second-order Hamilton-Jacobi equations
- A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
- Minimax solutions of Hamilton-Jacobi equations in dynamic optimization problems for hereditary systems
- Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach
- Control problems for fractional-order systems: formalism of Hamilton-Jacobi equations and methods for constructing optimal feedback strategies
- Zero-sum games for Volterra integral equations and viscosity solutions of path-dependent Hamilton-Jacobi equations
- Brownian particles controlled by their occupation measure
- Closed-loop equilibria for mean-field games in randomly switching environments with general discounting costs
- Martingales and path-dependent PDEs via evolutionary semigroups
This page was built for publication: Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2073223)
