An infinite-dimensional approach to path-dependent Kolmogorov equations

DOI10.1214/15-AOP1031MaRDI QIDQ317478zbMATH OpenFDO

Authors Franco Flandoli, Giovanni Zanco

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, https://projecteuclid.org/euclid.aop/1470139151

zbMATH Keywords

backward Kolmogorov equationpath-dependent PDEpath-dependent stochastic differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Representations of solutions to partial differential equations (35C99)

Abstract: In this paper, a Banach space framework is introduced in order to deal with finite-dimensional path-dependent stochastic differential equations. A version of Kolmogorov backward equation is formulated and solved both in the space of $L^p$ paths and in the space of continuous paths using the associated stochastic differential equation, thus establishing a relation between path-dependent SDEs and PDEs in analogy with the classical case. Finally, it is shown how to establish a connection between such Kolmogorov equation and the analogue finite-dimensional equation that can be formulated in terms of the path-dependent derivatives recently introduced by Dupire, Cont and Fourni'{e}.

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