Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
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Publication:2296085
Comparison principles in context of PDEs (35B51) Viscosity solutions to PDEs (35D40) Second-order parabolic equations (35K10) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Abstract: In this paper we propose a new type of viscosity solutions for fully nonlinear path dependent PDEs. By restricting to certain pseudo Markovian structure, we remove the uniform non- degeneracy condition imposed in our earlier works [9, 10]. We establish the comparison principle under natural and mild conditions. Moreover, as applications we apply our results to two important classes of PPDEs: the stochastic HJB equations and the path dependent Isaacs equations, induced from the stochastic optimization with random coefficients and the path dependent zero sum game problem, respectively.
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Cited in
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