An infinite-dimensional approach to path-dependent Kolmogorov equations
From MaRDI portal
Publication:317478
DOI10.1214/15-AOP1031zbMath1356.60101arXiv1312.6165MaRDI QIDQ317478
Giovanni Zanco, Franco Flandoli
Publication date: 30 September 2016
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.6165
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Representations of solutions to partial differential equations (35C99)
Related Items (25)
A weak version of path-dependent functional Itô calculus ⋮ Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes ⋮ Infinite-dimensional calculus under weak spatial regularity of the processes ⋮ Optimal control for stochastic Volterra equations with multiplicative Lévy noise ⋮ A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Partial smoothing of delay transition semigroups acting on special functions ⋮ Robust Portfolio Choice with Sticky Wages ⋮ Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations ⋮ Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks ⋮ Kolmogorov equations on spaces of measures associated to nonlinear filtering processes ⋮ Path dependent equations driven by Hölder processes ⋮ Stochastic systems with memory and jumps ⋮ About classical solutions of the path-dependent heat equation ⋮ A BSDE with delayed generator approach to pricing under counterparty risk and collateralization ⋮ Path-dependent equations and viscosity solutions in infinite dimension ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Strong-viscosity solutions: classical and path-dependent PDEs ⋮ Semilinear Kolmogorov equations on the space of continuous functions via BSDEs ⋮ Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations ⋮ Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ Optimal portfolio choice with path dependent benchmarked labor income: a mean field model ⋮ Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales ⋮ On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs ⋮ Duality relations between spatial birth–death processes and diffusions in Hilbert space
Cites Work
- Unnamed Item
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Generalized covariation for Banach space valued processes, Itō formula and applications
- Representation and control of infinite dimensional systems. Volume I
- A functional extension of the Ito formula
- Change of variable formulas for non-anticipative functionals on path space
- Functional Itō calculus and stochastic integral representation of martingales
- On viscosity solutions of path dependent PDEs
- The covariation for Banach space valued processes and applications
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- GENERALIZED COVARIATION AND EXTENDED FUKUSHIMA DECOMPOSITION FOR BANACH SPACE-VALUED PROCESSES: APPLICATIONS TO WINDOWS OF DIRICHLET PROCESSES
- Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations
- HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions
- Stochastic Equations in Infinite Dimensions
This page was built for publication: An infinite-dimensional approach to path-dependent Kolmogorov equations