Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

DOI10.1214/14-AOP999zbMath1375.35250arXiv1210.0006OpenAlexW4230022934MaRDI QIDQ282508

Jianfeng Zhang, Ibrahim Ekren, Nizar Touzi

Publication date: 12 May 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.0006

zbMATH Keywords

comparison principleviscosity solutionsnonlinear expectationpath dependent PDEssecond-order backward SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) 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)

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