Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs

DOI10.1186/s41546-016-0010-3zbMath1431.35256arXiv1604.02239OpenAlexW2964221211WikidataQ59478966 ScholiaQ59478966MaRDI QIDQ2296085

Jianfeng Zhang, Ibrahim Ekren

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.02239

zbMATH Keywords

comparison principleviscosity solutionspath dependent PDEsIsaacs equationsstochastic HJB equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40) Comparison principles in context of PDEs (35B51)

Related Items (13)

Optimal stopping with random maturity under nonlinear expectations ⋮ A weak version of path-dependent functional Itô calculus ⋮ Zero-sum path-dependent stochastic differential games in weak formulation ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Optimal Control of Diffusion Coefficients via Decoupling Fields ⋮ Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs ⋮ 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 ⋮ Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations ⋮ Dynamic approaches for some time-inconsistent optimization problems ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Some norm estimates for semimartingales
• Optimal stopping under nonlinear expectation
• \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
• Functional Itō calculus and stochastic integral representation of martingales
• Strong-viscosity solutions: classical and path-dependent PDEs
• Optimal stopping with random maturity under nonlinear expectations
• On viscosity solutions of path dependent PDEs
• Controlled Markov processes and viscosity solutions
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
• Backward stochastic differential equations and integral-partial differential equations
• Stochastic Hamilton–Jacobi–Bellman Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs
• Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs
• Functional Itô calculus
• An Overview of Viscosity Solutions of Path-Dependent PDEs

This page was built for publication: Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs