Perron's method for viscosity solutions of semilinear path dependent PDEs

DOI10.1080/17442508.2016.1215451MaRDI QIDQ4584673zbMATH OpenOpenAlexFDO

Authors Zhenjie Ren

Publication date 4 September 2018

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.02169

zbMATH Keywords

optimal stoppingviscosity solutionPerron's methodpath-dependent PDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to PDEs (35D40) Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: This paper proves the existence of viscosity solutions of path dependent semilinear PDEs via Perron's method, i.e. via showing that the supremum of viscosity subsolutions is a viscosity solution. We use the notion of viscosity solutions introduced by Ekren, Keller, Touzi and Zhang, in whose work all smooth processes which are tangent in mean are considered as test functions. We also provide a comparison result for semicontinuous viscosity solutions, by using a regularization technique. As an interesting byproduct, we give a new short proof for the optimal stopping problem with semicontinuous obstacles.

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Cited in

(10)

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• Survey on path-dependent PDEs
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