An infinite-dimensional approach to path-dependent Kolmogorov equations

DOI10.1214/15-AOP1031zbMATH Open1356.60101arXiv1312.6165MaRDI QIDQ317478FDOQ317478

Giovanni Zanco, Franco Flandoli

Publication date: 30 September 2016

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

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}.

Full work available at URL: https://arxiv.org/abs/1312.6165

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)

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Cited In (32)

• About classical solutions of the path-dependent heat equation
• On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs
• A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
• Robust Portfolio Choice with Sticky Wages
• Solving partial differential equations by LS-SVM
• Semilinear Kolmogorov equations on the space of continuous functions via BSDEs
• Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
• Classical solution of path-dependent mean-field semilinear PDEs
• A weak version of path-dependent functional Itô calculus
• Duality relations between spatial birth–death processes and diffusions in Hilbert space
• Title not available (Why is that?)
• Title not available (Why is that?)
• Kolmogorov equations on spaces of measures associated to nonlinear filtering processes
• Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations
• Infinite-dimensional calculus under weak spatial regularity of the processes
• Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
• Optimal control for stochastic Volterra equations with multiplicative Lévy noise
• Partial smoothing of delay transition semigroups acting on special functions
• Path properties of an infinite system of Wiener processes
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
• Path dependent equations driven by Hölder processes
• Path-dependent equations and viscosity solutions in infinite dimension
• 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
• Weak differentiability of Wiener functionals and occupation times
• 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
• Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --
• Strong-viscosity solutions: classical and path-dependent PDEs
• Stochastic systems with memory and jumps
• Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks

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